For any shot around the green that requires a bit of loft I'll generally use a sand wedge, but every now and then there will be a shot where only a lob wedge will do, chipping over a bunker to a tight pin on a green sloping away from you. If it comes off, great, if not then nothing lost.
The real reason for carrying a lob wedge though is because despite years of trying to develop the shot, I cannot hit the 50 to 80 yard low checking half shot with a SW or PW, so I compromise with a flat out lob wedge.