Whetstones are generally intended to be used with oil.  Japanese stones are commonly referred to as waterstones as they are to be used with water instead of oil.
A common misconception with buying waterstones is to believe that they are ready to be used straight out of the box.  This is far from accurate, they need to be sanded completely flat before use.  This does require many hours of sanding and checking with a straight edge before the stones are actually ready for use.  An inexpensive investment would be a 12" x 12" x 1/2" piece of glass, available at nearly any glass retailer.  Using adhesive sandpaper and obviously water, it's just a matter of time until the stone is ready for use.
I purchased my stones while in school a few years back to use for maintaining my woodworking tools.  I use the stones mainly for my chisels, gouges, plane blades, and scrapers, but also for my small knife collection.  The company I work for is a distributor for SOG Knives, so I am able to get their products very cheap.  Most of my knives so far are fixed blade outdoor knives, but I do have a few folding knives as well.