I've used water, oil and dry.
I prefer mineral oil because I get faster cutting and cleaner edges on my Norton India stones without clogging.
Dry sharpening actually wears the stones faster, though it cuts more aggressively. My medium and coarse India's actually sharpen better than my DMT coarse diamond when used dry (they do a great job on S30V).
Water absorbs too fast in the stones to be an effective lubricant even after soaking and frequent reapplication and tend to load the stones.
I haven't had clogging with mineral oil since I wipe the stones after use or scrub them with a brillo pad after use and reapply oil afterwords.
My translucent Arkansas polishes very effectively with oil; less effectively with water or dry.
Just my $.02