As a diver, you can be thankful they get all pruney during a dive.
It could be an adaptation that gives us better grip underwater.
Fingers and toes wrinkle in water after about five minutes due to
  the constriction of blood vessels. This reduction in volume pulls the
  skin inward, but as the skin's surface area cannot change, it wrinkles.
  A study in 2011 showed that wrinkles form a pattern of channels that
  divert water away from the fingertip - akin to rain treads on tires. The
  team thought that this could aid grip. To find out, Tom Smulders and
  his team at Newcastle University in the U.K. timed people as they
  transferred wet or dry objects from one box to another, both with and
  without wrinkled fingers. With wrinkles, wet objects were transferred
  about 12 percent faster than with unwrinkled fingers. The time it took
  to transfer dry objects was the same regardless of wrinkles.
So why aren't our digits always prune-like? "With wrinkles, less
  of your skin surface touches the object, so there may be issues of sensitivity,"
  Smulders suggests.
- - New Scientist, January 12, 2013