This is what Palmer has to say on the matter:
"The grist/water ratio is another factor influencing the performance of the mash. A thinner mash of >2 quarts of water per pound of grain dilutes the relative concentration of the enzymes, slowing the conversion, but ultimately leads to a more fermentable mash because the enzymes are not inhibited by a high concentration of sugars. A stiff mash of <1.25 quarts of water per pound is better for protein breakdown, and results in a faster overall starch conversion, but the resultant sugars are less fermentable and will result in a sweeter, maltier beer. A thicker mash is more gentle to the enzymes because of the lower heat capacity of grain compared to water. A thick mash is better for multirest mashes because the enzymes are not denatured as quickly by a rise in temperature."
And no doubt he's right, but do you want high protein breakdown in a hefeweizen? And while a thick mash may be better for multirest mashes, if I were raising the rest temperatures by direct heat I'd be a bit worried about scorching. Then if I were doing decoctions, I'd probably want it slightly on the thinner side of average.
My advice would be to go with what works for you.