my favorite anchovies are the Spanish brand Ortiz, which I've found at Fox & Obel. There are several varieties, including salt-packed.

I've had the brined white anchovies that some people have mentioned (I think they are also produced by Ortiz) and I find them to be very good. in fact, i no longer order white anchovies when I see them on a menu in a restaurant, because I'm convinced that it's the very same product, just plated and fussed over a bit.

edited to add: I've purchased the Ortiz white anchovies at Provenance in Lincoln Square, 2312 W. Leland Ave