They go on wet and they stay wet. Wet lubes provide excellent lubrication and chain protection in clean conditions and also protect against moisture extremely well. However, where wet lubes begin to fail is in dry dusty conditions. The lube acts as a magnet to dust and can quickly clog your drivetrain with thick oily mud. The most basic wet lube is oil.
Many people just use basic motor oil with excellent results.
The more high-tech versions of wet lubes use synthetic oils, teflon, and other ingredients. If you find yourself riding on a dusty trail, you will likely have to clean your chain often. If you're one of the people who are lucky enough to ride in dry and relatively dust free environments then you can really choose either lube type. Though I would suggest a dry lube as they do a great job keeping your drivetrain clean and running like new. If you do the majority of your riding on the road then you have the luxury of using virtually any chain lube.