In the course on PDE's I took this semester we talked a lot about the theory of Sobolev-spaces $W^{k, p}(\Omega)$ for $\Omega \subset \mathbf{R}^n$ an open set, $k \in \mathbf{N}$ and $1 \leq p \leq \infty$. But then we only used the Sobolev-spaces with $p = 2$ to deal with PDE's, since we can use the Riesz-Representation theorem on a suitable subspace of $W^{k, 2}(\Omega)$ (which is a Hilbert-space).
For $p \neq 2$, we can't use the Riesz-Representation theorem, so we don't get weak solutions for $W^{k, p}(\Omega)$.
My question now is: Why do we introduce general Sobolev-spaces, instead of just limiting ourselves to $W^{k, 2}(\Omega)$? Are there any applications to the theory of PDE's (or other parts of mathematics) of Sobolev-spaces with $p \neq 2$?
Thanks!