I think the discussions here is great on this shot from the rough.. it is not easy.
My experience is to use a lofted club such as the pitching or sand wedge. Of course, you can also use the 8 and 9 irons. I just cutNpaste the following from my blog.
First, set up yourself with an open stance. Align your shoulder, knees, hips and feet to the left of the target while maintaining the club square towards the target. This will give you an open stance. The ball should also be set towards the back of the stance. This setup will allow you to make a steeper downward swing towards the ball which is required when hitting from a lie in the thick rough.
Since there is grass surrounding the ball, the club face will get caught in the rough if the downswing is not steep into the ball. Also, the downswing towards the ball should be firm. That is you will need to grip strong to prevent the club from twisting due to the grass. Be sure to swing into the rough and through the ball and follow through. Make sure you accelerate the club through impact otherwise you will risk moving the ball only a few feet.