As you've all probably figured out by now - the skin on the surface of our fingers and toes is different from the skin covering the rest of our body and will allow only so much water -otherwise we would inflate like a balloon not to mention look like one giant raisin every time we got wet!
The skin on our fingers and toes are thicker due to constant contact, abrasion, and pressure. Our fingertips and toetips contain networks of dense, tough connective tissue. This tough tissue anchors the outer skin (the epidermis), to the underlying layers known as the dermis. This outer skin produces an oily substance called sebum - that evidence you leave behind (oily fingerprint) whenever you touch a mirror, window or even something shiny like chrome. One job sebum does well is to keep water out of your skin. However, after long periods of time in a swimming pool, bathtub or a shower, much of the sebum is washed off and therefore the outer layer of your skin starts to absorb water and swells!
This swelling, however, doesn't happen uniformly. Instead, the regions of skin that are most heavily anchored from below will remain lower than the more softened and swollen regions. The result - those temporary wrinkles on your fingers and toes. Other parts of your skin don't have the same densley-reinforced design - so, no matter how much you soak, the rest of your skin tends to stay smooth.
Now, this explanation doesn't really explain Why but rather, How our fingers and toes get wrinkled in water.
As for Why....
A group of scientists at 2AI Labs, an independent research institution in Idaho that focuses on human cognition and evolution, noticed some puzzling facts about finger and toe pruneyness: Water only wrinkles the tips of our digits, and nowhere else on the body, so it cannot be a simple side effect of skin's water absorbency. Moreover, previous observations have revealed that nerve damage in fingers prevents the formation of the wrinkles, suggesting that the nervous system controls their formation, not water.
In a paper the group published June 23 in the journal Brain, Behavior and Evolution, the researchers, led by neurobiologist Mark Changizi, argued that the wrinkles are "rain treads": They are a neural response that evolved to allow the efficient removal of water from the pads of our fingers and toes, thereby improving our grip in wet conditions.
medhelp.org, scientificamerican.com, lifeslittlemysteries.com, discoverymagazine.com