Again, a topic with different options, advantages and disadvantages. Which lubricant can/should I use? Some stones even give you a choice. Arguments for lubricants:
Increases the grinding power
reduces clogging of the surface by metal
Cooling
Dust avoidance
Rough comparison:
Waterstones are usually softer and faster, but not as fine, they need to be dressed more often.
Oil stones are harder and slower, but better at fine grinding, need less frequent dressing. The three options: