For me, I've found that there are natural stones that just don't seem to like being used dry, or even with water. Oilstones need oil to keep cutting, or they fill up. There are some natural stones that do okay dry, but so far, I've mostly run into natural stones that like oil.
I use waterstones, like Japanese waterstones and Edge Pro Apex stones, with water. They work best that way, in fact they're designed to work that way. Try using a Japanese waterstone dry and you'll see.
By contrast, I use both diamond hones and artificial hones (like the Spyderco hones) completely dry. Even when the instructions say to use water, I find that these hones cut faster without water, and they're so easy to clean afterwards that you don't have to worry about them clogging. My strong advice is to use these dry, adding water just makes things messier and makes the sharpening slower.
I'll finish up by saying that you shouldn't believe any of us ... takes just a few seconds to sharpen dry, then with water, to see the difference, so you can make you own conclusions for diamond, artificial, and natural stones, and just follow whatever you like best. That doesn't work with oil stones though; once you oil them, you'll want to keep them oiled.
Joe