Pretty much all model rockets have fins for stability, but when I think about it, I can't seem to come up with a full scale, commercial or government rocket that has fins. I'm probably forgetting one really obvious, but does anyone have an example?
As for the reason you see fins on model rockets but not on most large launchers:
Rockets that require precision guidance to a specific trajectory have to be actively steered; the two obvious ways to do that are by moving fins or vectored thrust.
Vectored thrust has two big advantages: one, it works outside of the atmosphere, two, fins produce drag. So big guided orbital launchers go with vectored thrust.
Passive fixed fins like those on model rockets help stabilize, but not guide, the rocket's flight. If you have active steering, that gives you stabilization as well, and unless the aerodynamics of the rocket are very poor, you don't need fins at all.
Mark Adler's exceptions fall into two main categories:
- Sounding rockets -- generally unguided, fin or spin stabilized
- Vehicles that need aerodynamic surfaces for lift at some point in their flight (shuttle, Pegasus).
Saturn I and V are outliers; as Mark notes, the fins weren't needed in normal flight because the engines were gimbaled, but they would improve stability in the event of a catastrophic first-stage engine problem, providing a longer time window in which to abort safely.
SpaceX's Falcon 9 uses grid fins to help stabilize the rocket while returning back to land.
Grid fins perform very well at subsonic and supersonic speeds, but poorly at transonic speeds; the flow causes a normal shockwave to form within the lattice, causing much of the airflow to pass completely around the fin instead of through it and generating significant wave drag. At high Mach numbers, grid fins flow fully supersonic and can provide lower drag and greater maneuverability than planar fins.