You always have the stroke and distance option: No matter where your ball is on the course — including in a bunker — you can take stroke and distance relief for a one-stroke penalty, and you don’t need to find your ball first to use it.
Unplayable ball relief comes in three forms: Stroke and distance, back on the line, and lateral relief each cost one penalty stroke in the general area, but for back on the line and lateral relief you must know the exact spot of your ball before you can take the drop.
Bunker relief has specific rules: If your ball is unplayable in a bunker, lateral and back on the line drops must land and come to rest within the bunker for a one-stroke penalty — escaping the bunker via back on the line relief costs two penalty strokes.