Disclaimer: I'm not a sand user, but I hope to do some "experiments" soon to evaluate the differences between water, sand, and an empty pan.
It seems to me that water's biggest benefit is in temperature control, sort of like training wheels for the cooker. No matter how much fuel you get going in the WSM, as long as you keep that water pan full, you'll never get the cooker to run hotter than typical barbecuing temperatures. A side effect of using water is that evaporation produces a moist cooking environment, which may or may not be of value, depending on what meat you're cooking. Using water also consumes a lot more fuel than using sand or an empty pan.
The benefits of sand seem to be ease of use and cleanup, lower fuel consumption, and that it acts as a modest heat sink, sort of like putting a pizza stone in your oven. However, it can't keep the cooker temperature from running out of control like water.
The benefits of an empty pan are that it's the easiest to use and cleanup and has the lowest fuel consumption. However, it lacks the heat sink capacity of sand and the temperature control of water.
If using sand or an empty pan, you have to rely upon firing techniques like the Minion Method and good vent control to keep the cooker from melting down.
Just my thoughts. All other thoughts and opinions are welcomed. /infopop/emoticons/icon_smile.gif
Regards,
Chris