Different sponges are designed for different usage. Using the right one will give you a better application.
Powder/Puff sponges - Great for picking loose powder or pressed powders.
Latex sponges - Ideal for applying creamy foundation but may cause adversed effect on sensitive skin. (Suggestion: Use Non Latex sponge)
Cellulose Sponges - Ideal for removing your makeup or cleansing your face.