There are 24 wands in NetHack. Management of wands is an important part of the game. Some wands are useful early in the game but become nearly useless toward latter stages. Some wands are frequently carried for immediate use, while others are often kept in stashes. Wands are heavier than rings or scrolls (though only a third the weight of potions), so choices must be made.
Not that all wands have value as polyfodder. Some wands with offensive potential may be picked up simply to keep them out of enemy hands.
Another important consideration with wands is deciding which are worth recharging, as scrolls of recharging (and/or magic markers to make them) are typically a scarce resource.
Wands That Are Always Useful
Wand of Wishing: See the wand's page for full details. Generally, these wands are used in early midgame through early late game to acquire important items (armor, magic markers, etc.) However, there are strategies in which people save a wish for as late as the Astral Plane.
Wand of Death: One of the most powerful offensive moves in the game is to zap a wand of death. Particularly valuable as a last-ditch weapon when facing a difficult opponent, or for efficiently dispatching the Wizard of Yendor and other endgame threats.
Wand of Digging: These (or the spell) are the fastest way to cut through rock, which is helpful in some situations, such as the Plane of Earth, as an escape item, or for breaking boulders to fix Sokoban mistakes. A digging implement (such as a pick axe) can do the same things, but there's no reason not to use up the wands of digging you find.
Wand of Teleportation: Useful both as an escape weapon and for teleporting enemies away. Prized for crowd control.
Wand of Polymorph: Since self polymorph is of limited duration (and random without a source of polymorph control), this wand is useful early on for polymorphing pets or polypiling, and later in order to polyself into a metallivore for jewelry eating.
Wands That Are Useful Early
Wand of Striking and Wand of Magic Missile: The low damage potential of these wands for ranged attacks makes them less useful as the game progresses. Early on, they are good for pelting floating eyes or attacking from Elbereth squares. You're likely to find many of these, so the best strategy is to use and drop as they are not worth recharging.
Wand of Slow Monster: Later in the game, you may prefer to strike monsters for damage immediately rather than attempt to slow them. Also, later in the game, monsters have better resistance. Not worth recharging.
Wand of Create Monster: When sacrificing repeatedly for a gift, the wand of create monster eliminates the wait for a random monster to come along.
Wands That Are Useful Through Midgame
Wand of Sleep: Eventually monsters you will encounter will be too powerful to be bothered by sleep spells, and some monsters are never vulnerable, but from early to midgame, this is a handy part of your ranged toolkit. Probably not worth recharging.
Wand of Cold: Although useful for offensive purposes early on, the wand is useful later for freezing water if no levitation source is available.
Wands Of Limited Utility Value
Wand of Enlightenment: The usefulness of this wand depends on whether you have an Identify source (for ring/amulet identification) and how well you keep notes on intrinsics you receive. Some players keep this wand in their stash rather than carrying it. Unless you are starved for identification and rely on this wand exclusively for discerning magic items' properties, you are unlikely to need to recharge it.
Wand of Make Invisible: This is typically a single-use wand: you zap yourself to gain the invisibility intrinsic. Note that zapping pets does not confer a benefit.
Wand of Undead Turning: This wand's chief value is in reviving corpses, which is useful in limited scenarios, such as reverse genociding unicorns for horn/polyfodder harvest.
Wands That Are Usually Polyfodder
Wand of Locking: Skeleton keys are simpler and can be used infinitely.
Wand of Probing: A stethoscope can be used infinitely.
Wand of Nothing: Only useful as polyfodder.