Speaking from someone who is a newbee here, take my opinions with a grain of salt.
I went from my first tank last summer with a 29g and a HOB filter to my now 125 and after much debate, decided to go with a Wet/Dry underneath for a few reasons. I know a lot on here will say that the have canisters and have no problems, but I heard more people that DID have issues with their canisters more so I decided not to go that route. HOB's take up too much room in my opinion up top. I also believe in overfiltration. Where I still need to do the occasional water change, I'm not doing WC's NEARLY as much using the sump setup than I would if I would've gone with an HOB type. Also, most HOB filters have a max of 500pgh rating. I try and go with the rule of turning the tank '10 times an hour'. So, in order to achieve that with my 125, I'd need at minimum 2 AC110 HOB style filters and even then I still wouldn't have the same flow rate I have with my sump setup, and it didn't cost that much more for the sump setup either. I paid $275 after shipping for my sump, dual overflow box, tubes, return with siphon valve, bio balls (which I changed out to scrubbies), and a 1300GPH return pump. Yes, having the option to hide the heater is nice, but in my opinion, it wasn't that big of a deal breaker. If you plan on implementing a refregium with plants to help filtrate that is also nice, but in my case it wasn't needed. The biggest decision would be if you have the physical room to put one underneath. I've got a 75g that I'd love to have a sump setup for, but the stand won't allow for it, so I just put a single AC110 HOB on it. If I ever decide to build another stand for it I'll be adding room for a sump and ordering one for it as well.