This is a hotly debated topic -- to cut to the chase, both perform about equally well, and you will be hard pressed to find evidence of superiority without a manometer.
I find the oiled filters a bit happier in wet weather (oil is hydrophobic), but really, either kind will do.
Now, what I find really interesting is this little graph that AEM used to display on their website, trying to hype up their dryflow filters.
You will note that the dryflow media appears to offer superior flow when saturated with dirt -- assuming these data aren't fabricated, and they probably are not (for reasons that will become obvious in a moment).
But... that's a LOT of dirt. Like over a cup of it (110 g = 1 cup!). Like the filter would have to be CAKED in fu
cking dirt.
In reality, you'll clean it or toss it before that happens, unless you are rally racing through a swamp or something.
When you look at flow in no to moderate dirt conditions, the K&N outperforms them all by a mile!
AEM took that graph off their site, probably because I am not the only person who noticed what the data were really suggesting...
No idea what to make of the AFE dry intakes... if those findings aren't just made up, they are definitely not the best choice for filtering (although, again, the difference on a dyno is going to be less than 1 whp...)