They have their preferred anemones and here is a good link.
http://lib1.store.vip.sc5.yahoo.com/lib/marinedepotlive/AnemoneSymbioticMap.htm but can host in others as well.
Clownfish aren't born immune to anemone's. As Steve was mentioning, the only reason they are safe is because the anemone doesn't realize it is there. Prior to adopting an anemone, they rub up against the base to coat themselves with the anemone's mucus. Once coated, they are safe inside the stinging cells in the anemones tentacles. Any fish that knows how to do this is safe because anemones don't have eyes. Damsels will often do this (same family as clownfish) as well as many cardinals.
I thought this might interest you....
The following is from the February 2004 issue of Aquarium Fish Magazine
A number of cardinalfish will associate with sea anemones, with several common western Pacific species being well known for this. The orangestriped cardinalfish (Apogon cyanosoma) and the Moluccan cardinalfish (A. moluccensis) occasionally associate with the leathery (or sebae) anemone (Heteractis crispa) and the magnificent sea anemone (H. magnifica). The bridle cardinalfish is a resident of the Atlantic Ocean that inhabits the curlycue sea anemone (Bartholomea annulata). In some cases, cardinalfish simply swim near the stinging tentacles. In other cases, they readily contact and shelter within them.
The Banggai cardinalfish was originally reported to shelter among the spines of Diadema sea urchins. In Lembeh Strait, northern Sulawesi, I have regularly seen them swimming near the corkscrew tentacle (Macrodactyla doreensis), giant carpet (Stichodactyla gigantea) and Haddon's carpet (S. haddoni) anemones. It will contact and swim among the tentacles of the leathery sea anemone. With the other three, the cardinals usually swim close but never (or rarely) come in contact with the stinging cells.
Once, I also saw a juvenile Banggai swimming around and between (but not contacting) the tentacles of the deadly Hell's fire anemone (Actinodendron sp.). Anemones are not the only cnidarians these cardinalfish associate with. Juveniles will swim among the tentacles of the anemonelike stony coral Heliofungia actiniformis.
When these cardinalfish first started to appear in Lembeh Strait, a single anemone would typically harbor an adult pair of P. kauderni and occasionally one or two juveniles. As the Banggai population increased, the most desirable anemones (i.e., H. crispa) were overrun with these cardinalfish. The carpet anemones, which seem the less-sought-after host, were still home to solitary pairs of P. kauderni. It's not unusual to see Banggai cardinalfish sharing an anemone with anemonefishes. I have seen them living alongside pairs of Clark's anemonefish (Amphiprion clarkii) and the pink skunk anemonefish (A. perideraion). One patch of three medium-size H. crispa was home to a pair of Banggai cardinals, a breeding pair of Clark's and a pair of pink skunks. In this and other cases, the anemonefish paid little attention to the cardinalfish, even when the anemonefish were guarding eggs.
If you get an individual Banggai or a pair of these apogonids, there is a good chance they will swim among the tentacles of your sea anemone. I have seen them associate with H. crispa on a number of occasions in the aquarium, as well as in the wild.[/url]
