Anchovy are used in small quantities to flavor many dishes. Because of the strong flavor, they are also an ingredient in several sauces, including fish sauces.
You could use anchovies in everything, salads, bread, pizza, sandwiches, eggs, ramen, rice dishes like paella or even steak (did I say everything?).
There are also a million ways you can cook them (deep fry, braise, satay, grill, etc) – basically the same way you would cook sardines.