There are a couple of different scenarios. If I'm on the fringe or on a level fairway, I like to use my 3-iron to just get enough air to clear the fringe or any big hills that might be between me and the green. Most people will chip with their putter from that spot, but I have a hard time estimating how the slightly thicker grass will effect the roll of the ball (I think this is called "bump-and-run"). If I'm in the deep rough, then I'll pull out my wedge and try to get some air.
I still struggle a great deal with controlling my wedges, so if I have a shot close to the green, I always look at a bump-and-run shot first. If there is anything in the way (like the lie being too thick or there isn't enough green in front of the pin), I'll start going up in clubs until I get to the wedges. I've been known to bump-and-run with my 7, 8, and 9 irons from time to time as well if I need to get more air and less roll.
There are a lot of different types of shots that can be played close to the green, and even though each seems specific to a certain situation, there are many situations where multiples types of shots can be used.