The title says it all. If I'm standing in the wind and I'm wet, I feel much colder than when I'm dry. This is true no matter how warm or cold the water. Why is this?
Evaporation of sweat from the skin surface has a cooling effect due to the latent heat of evaporation of water (from wikipedia). Basically, the heat is transfered from your skin to the water, the water then evaporates, taking with it a bit of the energy stored in it.
Further references here