Skim coating drywall, what do I need.

I have heard and read about wet sanding and am wondering if you can tell me a little about this? Can we wet sand an entire room that we are dry walling? What are the benifts to wet sanding vs dry sanding? HOW do you do it? Thanks!

After reading the many threads here, I'm confused by the role of joint compound on blueboard and/or sheetrock. I am putting up a simple wall in my basment workshop. First of all, I am not having this wall plastered by a professional. So, then, do I use blueboard or sheetrock? It will be primed and painted afterwards. Second, after I fill in the joints with tape and joint compound, do I need to apply a skimcoat over the entire surface prior to painting? This is the part that is most confusing to me: i.e., do I just prime over the bare blueboard or sheetrock, or am I supposed to cover the whole surface with a skimcoat? Also, why would I choose blueboard over sheetrock, or vice-versa in this situation? Is it that blueboard requires plaster? Thanks.