Which average to use? (RMS vs. AM vs. GM vs. HM) The generalized mean (power mean) with exponent $p$ of $n$ numbers $x_1, x_2, \ldots, x_n$ is defined as
$$ \bar x = \left(\frac{1}{n} \sum x_i^p\right)^{1/p}. $$
This is equivalent to the harmonic mean, arithmetic mean, and root mean square for $p = -1$, $p = 1$, and $p = 2$, respectively. Also its limit at $p = 0$ is equal to the geometric mean.
When should the different means be used? I know harmonic mean is useful when averaging speeds and the plain arithmetic mean is certainly used most often, but I've never seen any uses explained for the geometric mean or root mean square. (Although standard deviation is the root mean square of the deviations from the arithmetic mean for a list of numbers.)

I admit I don't really know what type of answer your looking for. So, I'll say something that might very well be entirely irrelevant for your purposes but which I enjoy. At least, it'll provide some context for the power means you asked about.
These generalized power means are basically the discrete (finitary) analogs of the L^p norms. So, for instance, it's with these norms that you prove (using, say, elementary calculus) the finitary version of Holder's inequality, which is really important in analysis, because it leads (via a limiting argument) to the more important fact that $L^p$ and $L^q$ spaces (which are continuous analogs of these finitary $l^p$ spaces) are dual for $p,q$ conjugate exponents. 
This duality is really important: one example is that if you are trying to prove something about the $L^p$ spaces that is preserved under duality, you just have to restrict yourself to the case $1 \leq p \leq 2$. The theory of singular integral operators provides examples of this: basically, it's easy to prove they are bounded (i.e., reasonably well-behaved) for $p=2$ by Fourier analysis; you prove that they're "weak-bounded" on $L^1$ (in some sense which I won't make precise); then you apply to general results on interpolation to get boundedness in the range $1-2$; finally, this duality operation gives it for $p>2$ as well.
Also, root-mean-square speed is used to define temperature in physics.
