I use my fingers.
I have brushes, but i never use them because i wear foundation less than once a month, and i'd have to wash the brushes and... yeah too much hassle.
I've never tried using a sponge, it looks exciting because of all the different shapes and sizes. I guess i'm just worried that the sponge will absorb too much of it, as well as bacteria breeding in the sponges. And i could never figure out whether you're supposed to wash sponges or throw them out.
Do they work well?
(Wow, that last paragraph was really disjointed.)