Neoprene rubber traps a layer of water between your skin and the rubber. This film creates an insulation layer that keeps your body warm. The less the water layer circulates the easier it is for your body to keep this insulation layer warm. That is why it is important to select gear that is a tighter fit. Neoprene tends to stretch more when wet - that is why it is OK to feel a little more snug before you get the gear wet.