Modified is a good, all-around upland bird hunting choke, and decent for informal clays shooting, too.
I shoot everything from cylinder bore to extra-full. Cylinder, skeet and improved are used mostly for skeet shooting. Full, extra-full, and trap are good for trap shooting, turkey hunting, duck hunting (although you should go down one choke size if you are using steel shot).
On the courses around here, modified is being used more than anything else for sporting clays.
Home defense is a whole other story. There are arguements in favor of cylinder bore for a wider pattern or full choke to keep more pellets on target at a longer range. One thing to remember if you are defending yourself in your home is penetration through walls. If you have a full-choke with a small shot size (#6 or #8), at close range, it's almost like hitting someone with a slug, but will not penetrate through as many layers of sheetrock.
I would pick up a wide range of chokes and pattern them. See what works for you, your chosen load, and your shotgun the best.