I found this on page 4 in SMOKE AND SPICE
... Says that you want the smoky flavor from smoldering wood, not from fat or oil dripping on coals or hot metal, because of taste and health risks. The smoke produced by burning fat contains benzopyrene (linked to many cancer researches, and one of the main sources is charbroiled food and diesel exhaust, among other things). According to the SMOKE AND SPICE
book, it's unavoidable in grilling, but isn't a problem in BBQ if using a water pan.
Here's a link on Wikipedia ... http://en.wikipedia.org/wiki/Benzopyrene
Even if I wasn't concerned with cancer, I'd still like to collect the drippings to add to my sauce. LIke I said, WIN WIN!!!!