It's not really a question of "which is better".
A wet/dry is a biological filter. Bacteria grows on the surfaces of the media used (e.g. bio-balls) which processes the ammonia/nitrites produced by the live creatures and decaying matter in the tank. Exposure to air (the "dry" bit) encourages the de-nitrifying bacteria to multiply at a greater pace than if the media were constantly submerged. Wet/drys are excellent for sumps in FO tanks, but have become shunned in reef tanks b/c they can trap detritus and become nitrATE sinks.
Protein skimmers are technically chemical filtration (I forget why). They utilize the foam fractioning properties of bubbles in salt water to remove the organics from the water column BEFORE they decay and produce ammonia.
With live rock and a good skimmer, you DO NOT need further filtration. The live rock would deal with any biological filtration necessary. However, if you were to have a wet/dry and skimmer combo, I'd first put the water through a fine filter sock for mechanical filtration(swapped out every few days to prevent nitrate build-up) before sending it to the biological and chemical filters.
