In my opinion, only "Made in China," "Sebenza v. the world," and Cold Steel cause more controversy on this forum than "name your favorite sharpening stone/style/device" threads!
Personally, I avoid freehand sharpening. Folks that can do it well and with ease have my respect; I've managed to sharpen knives freehand without scuffing up the blade, but I just plain don't like to bother. If you keep your knife as sharp as possible (i.e., touch it up every few days or after a medium/heavy cutting job), you save yourself a lot of hassle in the long run.
However, if you do want to sharpen freehand, I believe diamond plates are the way to go. You can use water as a lubricant, saving the mess of oil (although Smith's Sharpening Solution, a silicon-based lube, is my personal favorite because it's water-soluable). The esteemed Ragnar of Ragweed Forge has as good of a deal as any I've seen; plus, he's a great vendor and a great knife enthusiast:
http://www.ragweedforge.com/SharpeningCatalog.html
I use diamond plates for my big Buck 119 fixed blade and my beater Okapi folder, as well as my hatchet. For my folders, I prefer my Smith clamp set, which I recommend to anyone beginning to build a knife collection (Lansky and lots of other companies make these kinds of sets, too):
http://www.knifecenter.com/kc_new/store_detail.html?s=GA10004
I've used clamp sets with regular stones and had great success; this past Christmas, I treated myself to a diamond clamp set and it ROCKS.
Finally, many folks on the forums like the Spyderco Sharpmaster or similar rod sharpener sets. I've used them and found them to have great utility, but I don't have enough large knives to feel like I need one.
Whatever you buy, I urge you to buy a cheapo version first (cheap waterstone, cheap diamond bench stone, etc.) to make sure it fits your own sharpening style, and invest in a fancier version of that same stone later.