I clean mine about every year, and without the oil its useless. The size of particles that can get through a non oiled filter will be pretty bad for the car....the oil traps the particles on the gauze. If you look at the difference between a standard paper type of filter and compare it to a non oiled K&N you can see just how much less dense the K&N is, this is because the oil on the K&N works to trap most of the dirt and dust.
^^^ Keep in mind thats just with K&N, I don't know about other brands, but I would assume they are the same as long as they are the gauze type. Foam type cone filters are different I think.