Usually you have to ask for it, but ask questions. Oral surgery offices will give you anesthetic options such as: only local(shots), nitrous, IV sedation or oral sedatives.
You actually have the choice of the type of sedation used when getting third molars extracted. So this can be discussed with your oral surgeon prior to your appointment.
This should be your choice. Sedatives such as nitrous oxide are administered to patients who are apprenhensive about the surgery. If you are not anxious, you do not need sedatives.
If you want nitrous when you get your wisdom teeth removed most of the time all you have to do is just ask for it. Usually they put you to sleep to remove wisdom teeth.