90% of the time, "dry" is better. The term is misleading these days- dry kits DO provide extra fuel to the engine while the nitrous is flowing. Dry kits bump the fuel pressure via the fuel pressure regulator, providing the extra fuel pressure needed.
This seems to be much safer than a wet kit, which injects fuel with the nitrous into the intake tract, and flows the extra fuel through the intake manifold- which was never intended for fuel flow. If you've ever had your intake manifold off, you'll see why this is a bad idea- it's obvious that there are plenty of spots for fuel to puddle....and in the case of a manifold backfire, you stand a good chance of this puddled fuel igniting and causing a fire or explosion. For this reason, wet kits are only to be used above 3000 RPMs, because above 3000 the engine is generating enough vacuum to suck all the fuel through the manifold, not allowing it to puddle.
A few companies make "plate" kits, where you install a spray plate between the uppper and lower intake, and this plate sprays a nitrous/fuel mix into each intake port. I'd trust this much more than a standard wet kit.
From my own experience, I've run my Zex dry kit since early spring and haven't had one problem.