Using a water pan in the Weber Smokey Mountain Cooker: When to use it, what to put in it, and how to clean it.
As you'll learn about many things having to do with barbecue, there are no solid answers. You can do it many ways and get good results.
If you're new to the WSM, I would recommend water in the pan. It will make temperature control easier, help keep the meat moist, and enhances smoke ring formation. As you become more experienced, you can try leaving the pan in but the water out. Temp control is only slightly more difficult, you will use less charcoal, but you will want to consider spraying with water or other liquid to keep the surface moist and to enhance smoke ring formation.