I meant like why use one over the other?
It is a difficult question to answer because it like asking "which do you like: a sedan, or a pick-up, or a semi tractor?" They are all designed for different applications.
The wall switch is designed to control and dim overhead fixtures or incandescent lights controlled by a standard wall switch. It replaces the standard switch. This ability to replace a standard two wire wall toggle switch also presents it's short falls. There is an abundance of information on two wire switch quirks on this forum. There are three wire wall switches which eliminate most of the two wire wall switch foibles but you need a neutral wire in your wall switch box. Many homes do not have this.
The Lamp Module is probably the most versatile. It plugs into an outlet and any incandescent light 300 Watts or less can be controlled and dimmed, by plugging the light into the Lamp Module.
The Socket Rocket is the most compact, provides only ON-OFF control, no dimming. Screws into a light socket and the incandescent bulb screws in to the Socket Rocket. In most cases a Socket Rocket will play nice with a CFL bulb. The Lamp Module and the two wire wall switch will not.
Now go buy something and start playing.