I would usually say fingers for a natural finish, brush for a long-lasting one.
I find if you dampen the brush slightly it reduces the cake effect. Dampening the sponge does the same thing and also stops it guzzling your foundation.
Although different foundations will react differently to different methods of application too depending on oil content etc...
Superbalanced by Clinique is the only one I've found that goes on well with all three ways.