When to marinate vs when to use a dry or wet rub

What technique you use very much depends on what you are cooking.

Dry rub - If you want to lock in the juiciness with a flavourful light crust on the edge of the meat, then a dry rub is best. The idea of the dry rub is to create a sweet, smoky, tasty bark that complements the flavour of the meat. 

Wet rub - If you want to make sure your rub adheres to the meat to create that light crust, then a wet rub is often the best. You make a wet rub by combining the dry rub with a equal amount of liquid (ie oil, mustard, apple cider vinegar or even something like beer) 

Marinade - Marinades are best for allowing spices to soak deep into the meat and tenderise the meat.