A sand wedge is specifically designed to hit the kind of shot that is required in the sand. Because it has a large bounce angle/flange on the bottom, the club will tend to glide through just a thin layer of sand instead of digging into the sand. This allows the ball to ride on that thin layer that gets shot up and out.

If you play courses that have sand, having a sand wedge is really a must. It is one of the few specialty clubs that are designed significantly different than the other clubs. (Putter and driver are the other two, in my opinion). Even if you don't have any other wedges (and people will have anywhere from 2 to 5), I think that a sand wedge is an absolute must if there is any chance at all of ending up in the sand.