Supreme Lord is called as Anagha because he is free from all kinds of sins. There are three meanings of word ‘Anagha’ told in the Amar-Kosha (Vedic dictionary )— sin, suffering and evil tendencies. He is perpetually free from this threesome, therefore he is called as Anagha. Expressing the same notion, Bhaskar Roy defines this name as under—

दुःखं नाथ! न ते पापं च व्यसनम्।
त्रैलोक्याधिपते! तस्मादस्यनघः॥

O Lord! O master of the universe! You are free from all sufferings and you have no connection even with a slightest sin and you are completely devoid of any evil-tendencies, therefore you are known as Anagha.
It shows that Shiva is not addicted to any intoxicant in any way. It is a great offence to declare him a drug-addict. Shiva is neither addicted to Gaanja or opium, nor he is a smoker of tobacco. It is shameful to hide the personal faults behind Lord Shiva, and thus showing him intoxicated.
Shruti ( Vedic hymns) describe the Lord as destroyer of sins. When sin is negated then how can exist any suffering in him, which is actually the effect of sins. Therefore Shiva is ever blissful and free from depression. Vyasan (Evil tendencies) are actually blunders. According to Manu-Smriti there are eighteen kinds of blunders— hunting, gambling, day-sleeping, fault-finding, womanizing, drug-addiction, flirting, roaming, these are ten blunders mixed with material desires. Enviousness, troubling the sober people, debauching, intolerance towards other’s good qualities, converting other’s virtues into faults, stealing, abstaining from charity, harshness of speech, unnecessary cruelty during enforcing punishments, these are eight blunders mixed with anger. Shiva is said to be Anagha because he free from all these blunders. Freedom from evils is the true sense of worship of Anagha.