There is a popular belief that our fingers wrinkle in water because they absorb water and swell. The effect is actually controlled by the autonomic nervous system which contracts blood vessels in the area making the fingers shrink.
In a 2011 paper Mark Changizi proposed that wrinkling the finger tips made gripping wet objects easier as water was displaced more effectively, rather like the effect of tread on a car tyre.
In an attempt to test this theory Tom Smoulders at the Institute of Neuroscience at Newcastle University found that subjects with wrinkled fingers were able to move wet objects much faster compared to those who started the task with dry fingers. The study can be found in Biology Letters.