VP,
> should I go with wedge style or eggcrate? <
First, any foam that is not intended for acoustic use, such as packing or bedding foam, will not do anything for you.
Second, what are your problems and what are you trying to accomplish? If you need to reduce overall ambience and echoes, foam panels will do an acceptable job. But if you have bass problems, and pretty much every room does, thin foam panels will not help that.
>The other option is fiberglass panels.... are these more effective? <
Yes. For a given panel thickness, rigid fiberglass is 2 to 6 times more effective than acoustic foam.
--Ethan