The general idea behind letting your wedges rust (this is only really possible if you buy a raw wedge that is designed to rust, or if you mistreat a chrome wedge) is that it reduces almost all of the glare off of the face at address. Glare tends to increase more as you open the face, but with a rusted wedge there is no glare.
Also, some people claim that rusted wedges create more spin because of extra friction from the rust (I don't know how much true that is... it could be pure fallacy).
There are some disadvantages to rust though, besides the obvious mess that it creates in your bag and car, and on your clothes. The grooves on your wedges will tend to wear faster because of the lack of protection that the chroming process provides.
Raw wedges look pretty cool when they're rusted over, but if you don't want to deal with the disadvantages, you could go with black wedges that have started becoming popular. I personally play the Cleveland CG10 wedges and have the Black Pearl finish. I pretty much cuts out all of the glare that rusted wedges do, without the side effects. The only problem I've found is merely aesthetic; after acquiring some sole and face wear, it is a bit more noticeable than a satin wedge or rusted wedge.