Well, the agile answer is when there is something you want to communicate or explore, use the diagram (and the medium) that does it best. That doesn't help much does it? But if you have an SDLC that says "You must produce this diagram for every use case, then this diagram for every public method, then ..." you are probably in trouble, focusing on diagrams instead of software.
I had to play with "communicate or explore" up there. There are plenty of reasons to make a diagram. Communicating is getting your idea across to somebody else. Does it have to be beautiful slideware, permanent CASE tool artifacts, or will a napkin or whiteboard do? Explore is developing a new idea, alone or in a group. Try a design, see if it works, try another one. I might go through a whole pad of paper before I understand the problem.
See Scott Ambler's
Agile Modeling site for more thinking in this direction.
All that and I forgot to answer your question ... for myself, I use activity diagrams, um, never. But they might be good exploring the business processes with the customer. I like object interaction diagrams as a starting point to figure out what objects I have and what they do. I like sequence diagrams for geek-to-geek communications about how a series of steps works. We zoom out to service level communication between completely separate systems and zoom in to method level communication between classes.
Here's another Scott Ambler page about many artifacts, when you might use them, and interestingly how they are commonly misused.
http://www.agilemodeling.com/essays/modelingTechniques.htm [ September 15, 2003: Message edited by: Stan James ]