I have used my fingers. I am way too cheap to see half the foundation get soaked into the sponge and wasted! And yes, I like the control and the finish I can get this way.
But, I have Jane Iredale pressed powder mineral foundation on the way and will HAVE to use a brush! I actually purchased a JI brush on eBay. I don't usually pop for the pricier items, but I bought into the "you HAVE to have THIS brush to apply this foundation" that the line promotes. At least I got the $36 brush for "only" $25!