I did not know that yesterday!

Your skin is comprised of two layers -- the epidermis and the dermis. The epidermis produces an oily protein called sebum, which is effective in repelling water. It's also the material that causes fingerprints.

Inevitably, a nice long soak in a bathtub sloughs off the excess sebum from your epidermis. As a result, your skin starts to take on water. The top layer of the epidermis is known as the stratum corneum, which is Latin for "horny layer." These are the tough, dead skin cells that are constantly being sloughed off your body in your clothes, your bed, and in the form of dandruff. Disturbing, but true.

Your fingers and toes have especially thick layers of stratum corneum. Once deprived of sebum, they swell up with water, causing wrinkles. This osmosis effect is harmless and temporary. One you get out of the tub, the extra water evaporates, leaving your skin even drier than before because there is no sebum to help retain moisture. This is a good time to apply lotion or oil to help your skin retain some of the water.
Source: ask.yahoo.com