My cat gets both with every meal. My understanding is that wet food is much more nutritious, if for no other reason than the moisture content. Fortunately my cat is pretty good about drinking water, but getting enough hydration can be a problem for some individuals. My cat will usually eat the wet food first, then snack on the dry food over the next few hours.

I've watched family cats rack up huge vet bills and cause much heartache because they received improper nutrition; wet food may be way more expensive and inconvenient, but it's a worthwhile investment (same as with humans!)