I've had the best luck with Fletchtite Platinum for plastic vanes and superglue gel for feathers.

More important than the glue, is the preparation of the shaft before gluing up. Check the specificarrow manufaturers website for preparation instructions. Some recommend alcohol to clean, others recommend acetone. Be sure that you get the purest alcohol or acetone available. You can usually get 100% acetone at a drug store. Don't get the acetone that they sell for fingernail polish remover. It usually has additives included.