Really depends on what you're tuning the car with and its capabilities in my opinion. For EFI, if you're still on a stock ECU, then wet is probably the best setup. Most of the people I know who have done it have gone with Piranha Nozzle setups at the factory injector location on the manifold flange, and have a stand alone ECU tuned to up the fuel tables and hit the nitrous at WOT, so not your typical 'wet' setup.
I've never used it. My brother has, and we both know a lot of people who had it in the past. Honestly, with how far ECU tech and tuning has progressed, it's likely very safe now if you are willing to spend the money on tuning. I've been thinking about going with a decently sized dry shot on my cars recently just for the extra easy HP, but I've got stand alone ECUs already that fully support a lot of nitrous features/options.
The most ideal way on EFI something like below, but most people don't want to go through the work of setting it up, and just T off a line to four jets into a piranha nozzle at the flange like I mentioned above.
