Why do we need different modulation techniques? Is it because we need to convert from analogue to digital data sometimes? Also what are typical applications where modulation schemes are used apart from wireless scenarios?
We live in an analog world (okay, technically physicists believe that it is digital when you get down to Planck lengths and such, but that is way beyond the scope of this answer). Modulation is all about mapping digital data to analog mediums.
We have (and use) different modulation techniques because they have different benefits and weaknesses. The "ideal" modulation for a given application depends on the specifics of your application. If you wanted a simple "quick and dirty" modulation and didn't care much about the data rate you might use on-off keying (OOK). If you were trying for maximum bandwidth efficiency you would probably use OFDM. If the multipath delay was such that using OFDM isn't feasible you could use DSSS with a rake receiver.
Examples of non-wireless modulation are: CD's, Blue-ray, computer tapes, hard drives, and modems.