Using your fingers may be the fastest way to apply foundation, but a lot of the times, you end up with splotchy uneven looking foundation on your face. It can also exaggerate the size of your pores. If you prefer to use your fingers, really make sure you blend by working in a sweeping motion in the direction of your peach fuzz on your face.
Using your sponge is great for blending, but applying foundation, it may not always be practical (unless you wet the sponge first). Unless you're a makeup artist doing makeup on other people, you want something that is not disposable for yourself. The sponge can end up absorbing most of the foundation product, so you end up with less product on your face, so you end up using more foundation, going through your tube/bottle faster.
Using the brush is my favorite way to apply foundation because you get the most even coverage. You use less product because the brush spreads it out on your face evenly. Your pores are less noticeable because the tips of the bristles of the brush can get into every nook and cranny on your face. I LOVE MY BRUSH!