You may want to read thru the dozen or so intake threads.
The general concensus is the a dry flow ( oil-less) filter is better for the average person. Most have even changed from an oiled filter to a dryflow one to eliminate the possibility of over oiling and screwing up the MAF.
A oiled filter has the potential to stop more particles but requires more maintance. This may be a good thing if you are in a very dusty area but if you are not, then it may not be required.