If you are going to have a fish only tank, then you could do either, because as Fatman pointed out, wet/dry filters often lead to nitrate problems, but fish can tolerate high levels of nitrate.
If you are planning on having any inverts (shrimp, crabs, snails, corals, anemones, clams), then you should go with a sump, as these animals will not tolerate even moderate levels of nitrates, and it would be very difficult to keep your nitrates low down the road if you are using a wet/dry.