You can make a variety of wands:

Formation Wand: Be sure to have a stack of a block in your inventory. With the wand in hand, right-click a block (in the world) that you have a lot of in your inventory (e.g. dirt). In the top right corner of your screen you will be able to see the block selected and the amount you currently have. By simply pointing and clicking, you will be able to build lines of blocks from a good distance.

You can also add blocks to the pallet but shift right clicking different blocks. This will let you build pillars or walls with random blocks, if you wait before placing down blocks the blocks will change to different blocks in the pallet, you can keep clicking to build with the same pattern or wait for it to change:

To clear the pallet simply shift and click a block.

Conversion Wand: This wand will let you convert blocks with ones that you have in your inventory. If you want to convert your cobblestone masterpiece into dirt, simply sneak-right-click the dirt and then your masterpiece. All the converted blocks will drop to the ground (as if they had been mined). This does not work as a silk touch alternative.

You can also Sneak right click to add more blocks to the pallet (a maximum of 19), now instead of replacing blocks with 1 type of block (Dirt) you can do this randomly with a whole pallet of different blocks:

Remember that you will need to have these blocks in your inventory. To clear the pallet simply shift and click a block.

Impulsion Wand: Formerly known as the vortex wand, this wand acts like a grappling hook but with limited range (around 20 blocks). It is great for when you want to get up hills, but can be deadly as it could lead to you falling down a cliff or into mobs.