For sheet rock ceilings you can use a product referred to as an E-Z anchor, and are available from Walmart or Lowe's. All you need to do is substitute a screw eye or cup hook in place of the screw. These drywall anchors have a pretty high pullout strength in sheet rock. I have several aircraft suspended fro my ceiling using these from a 40 size to a 50cc.
Her's a YouTube video showing how to install them.

http://www.youtube.com/watch?v=Z4C31dShMII

P.S. There is a few different sizes available, I use the largest one for added security.