1) Out of shield.
-Either to get a grab; Marth Fsmashes your shield, wavedash out grab.
-To put yourself in a better position, like behind the player
-Or if you see them approaching, but have enough time to wavedash out of shield instead of shielding the hit; I see a fox approaching high, I assume he's going to aerial, I'm in my shield currently, I wavedash back -> Dtilt where he lands.
2) On/off platforms.
-Allows for full range of aerials in both directions
-Also implement wavelanding, it's a different way to approach, keep your opponent guessing; instead of always jumping -> aerial/running at them -> attack, you waveland, basically gives you a different height for your aerials.
3) To approach.
-If your character has good tilts that you cannot perform out of a run, wavedashing will allow you to approach quicker than walking into it.
-You also have full range of motion for any of your attacks, as opposed to having to wait to crouch cancel -> smash/dtilt.
4) To retreat/avoid attacks.
-If you know, or even think, your opponent is approaching in a certain way, wavedash back -> anything
5) To grab the ledge.
-Very simple, yet very effective, I can't tell you how many ledgehogs I've gotten due to this. If you want to take it 1 step further (and you should) quickly, VERY quickly, tap down (and let go quickly) as soon as you're off of the stage and you'll grab onto the ledge extremely fast, this closes the window for you to be hit by a recovery.
I would stress that the most important use for wavedashing is out of shield.
If you ever no longer need to shield, and need to move forward or backwards, wavedash out instead of letting go of shield, then running to where you need to be.
It's extremely effective.
Also some advice, don't get discouraged if you get punished for missing wavedashes, you can't get better at them if you don't practice. Spam them in friendlies till you are 100% consistent with them then you can focus more on 'playing smart'. There are steps that you need to take to get better, some times these steps lead down, but it's all toward a higher goal.
How often you wavedash/waveland is going to depend on your character, and the playstyle you want to have. Characters like jiggs/peach/DK/bowser really don't wavedash much (but out of shield is used by everyone), and significantly less than characters like luigi/samus/falco/fox (shinedash)
Some things to remember:
There is a time during the wavedash in which you cannot do anything, so in a tight spot if you can walk instead, go for it.
Wavedashing will not automatically win you matches, most likely people you use to do better against you will start to do worse with because you're attention will be focused more on wavedashing, this is common and a necessary direction for you to head in, and after you're comfortable with wavedashing you'll have a lot more options to play around with than if you didn't. Don't get discouraged.
Wavedash OUT OF SHIELD. <<<<<<<<<<<
Since you play falco (below) learn to wavedash out of your shine, allows you to cover more options than if you always jump out of it.