If the wood is still green, there is no need to soak the wood, but it won't hurt anything if you do. But if the wood is dry (such as anything you buy at the store), I normally soak it for a few hours. I find the soaked wood smokes better and longer, particularly if you're using wood chips. But in either case, it doesn't make a huge difference.

My favorite smoking wood for fish is apple, by far. It gives the fish a golden coloration and slightly sweet flavor. Second favorite is alder. Most fruit or nut woods are fine (cherry, pecan, pear, hickory, hazelnut). Just don't ever use mesquite.....