Although I believe you should play what you want to hear. Even when you follow that rule, you will tend to play in some sort of mode or scale. But modes and different scales are mainly used for harmonizing over a chord progression. Take a chord progression like C7 / Gm7 / Am7 / F7. Now of course you could use just a simple F major scale to play over the entire chord progression. Or you could break up the chord progression, and add alittle different flavor to it but using different scales/modes. To keep it short and sweet, I'll just show it with one chord. Play the F major scale over the first three chords, C7, Gm7, and Am7. But on the last chord F7, try playing F mixolydian over that chord instead of a simple F major scale. By altering the E to an Eb, you will get a more compatiable sound with the F dominant chord. Hopefully you get the idea. Understanding this will help bring light to your solos and music.

You can also play two different scales over one chord. Take a simple C major chord. For the first half of it you could play a regular C major scale, but for the second half you could play a C lydian scale. The lydian mode is probably my favorite mode cause the "#4" adds a sort of modern colorful sound. Just practice with them and learn how each effects the music when harmonizing over a chord.

You can also use them for composition but most of the time they fall back into their relative major or minor scale.