I have to attach some baseboard and window jamb extensions to a house with cement block walls. These are my options as I see them:
1. glue the trim to the block with construction adhesive, like PL200 or 400.
2. try to nail the trim, using concrete nails (only for trim that will be painted, so I can cover the heads of these biggish nails).
3. use screws and some sort of anchor like lead expansion shields.
Am I missing anything here? I am not crazy about any of these options, but they seem to me to be the only ones.

The small boards like trim and window extensions will most likely split from cut nails(concrete nails.) The construction adhesive will work but monitor the pieces as the dry to insure nothing shifted. I am going out on a limb here but it sounds a bit unusual to add trim to a room made from concrete block. In my neck of the woods we call that putting lipstick on a pig. Have you thought about insulating and drywall?

Well, part of the reason for the baseboard is because we are going to be putting a floating floor over the concrete floor, and it will need a baseboard to cover the expansion gap where the floor meets the wall. The walls have a "plastered" look to them, so they don't look like block walls on the inside. (I loved your expression-- putting lipstick on a pig!) Attaching the baseboard to the interior walls is not a problem as they are stud walls.