A wet system is a nitrous system which mixes nitrous and fuel, and feeds it into the intake. A dry system only feeds nitrous into the intake, and tricks the existing fuel system to add the fuel.
The main thing that can go wrong is adding nitrous into your engine without compensating fuel. This extreme lean condition is disaster for the engine, and you're not likely to get a second chance - at least with the same engine.
You decide.
As I was trying to impress earlier......do not go for a dry system with a standard ecu.
Nitrous will not destroy your engine, neither will a turbo nor supercharger.
However, incorrect installation/useage of any of these might well do.
Infact if your standard engine develops some fault that causes it to run very lean and you continue to thrash the car about you could well destroy your engine in the same way without any of these.