Lump is good for shorter and/or high heat cooks (less than 8 hrs). The downside to lump is due to its uneven shapes it is difficult to get it to pack in evenly in the charcoal ring. This means there are larger pockets of air in the stack more air = more burn. Lump burns very clean so you have less start up smoke and a lot less ash. A trick to loading lump is fill the ring half way, then grab the ring and rotate it 1/4 turn back and forth a few times to help settle the lump into all the nooks and crannies, fill rest of ring and repeat. When you light lump only light a third to a half of a chimney - if you light a full chimney you will have a hard time getting your temps down.
Briquets are the opposite of lump in some regards. Uniform shape makes for an even pack in the ring and a more even distribution of air throughout the stack. There will be a lot of start up billowy white smoke for the first 10 min. or so until the temps start to come up. Briquets will burn at a very steady rate for a long time in a WSM, in the summer when the night time temps stay above 60° I can get a 22+ hr burn out of a 20 lb. bag of briquets.
I tried the Kingsford competition and hated it, way to much ash and didn't burn near as long, I mainly just use Kingsford blue bag for my long smokes. You can also mix lump and briquets together for a best of both worlds scenario as well. To do that fill the ring about half full with briquets, then work about 4 or 5 big pieces of lump down into them, then fill the rest of the ring with briquets and another 4 or 5 pieces of lump worked into the top. This is especially handy for overnight cooks in the winter, as the fire hits each piece of lump it gets a boost that can help keep the temps from dropping off at 4 AM when the temps dip down low.
With a proper load you should almost never have to add charcoal to a WSM during a cook. In all the years I have owned my 22.5" WSM there have been less than 5 times that I have had to add charcoal. Also for winter cooking if you live in a cold and/or windy area I highly suggest a welding blanket to wrap your smoker in.