Sharpening is a bit like holy wars

bottom line is they all work but each have pro's and con's
Diamond stones
I don't have any direct experience with them but friends of mine like them. still takes some water, but doesn't require soaking like water stones.
(for personal reasons I don't like DMT)
water stones
Cut fast, but go out of flat very fast. I find them messy. you have to dry and oil your tool after.
oil stones
they cut slower, stay flatter over time. no need to oil the tool after sharpening, just wipe the oil off and go. (honing oil is mostly mineral oil so it leaves your hands nice and soft)
Sand paper on glass
cheap start up cost. over several years the cost is higher than stones. requires water spritzing, and oiling tool after sharpening.
power sharpening systems
too many options to really go into.
Honing guides:
I use them. others don't. I can see both sides of the argument
To quote chris schwarz, "pick a system and stay with it for a year."