Built this:
http://i.imgur.com/IMwBVHZ.jpg
It came with pegs to fix it to the lawn but I don't have a lawn, only a small yard with concrete so I drilled holes in the base of the frame, drilled holes in the concrete for plugs and screwed the thing to the ground.
http://i.imgur.com/uM5jg8e.jpg
It's a bit breezy today and supposed to get windier as the day goes on so we'll see how it fares. Luckily, my yard is quite sheltered so it doesn't get the full force of the wind. It does get windy enough to blow my chiminea over though (you can see it in the background in the first photo being propped up by a bag of sand and a bag of shingle).
Rather than buy or build shelving for it, I'm utilising some crappy shelves and chests I was going to throw out - no point spending money when I've got something that'll do the job just fine. I'll be painting them with weatherproof paint over the next couple of days.
http://i.imgur.com/xGeYX2T.jpg
It will mostly be used for my chillies in the summertime but will also come in handy for seedlings etc.