Scuba diving and snorkeling gloves are made of neoprene, which contains tiny nitrogen bubbles inside the material.  These bubbles form an insulating barrier between your body and the water, proving excellent thermal protection.  A thin layer of water will enter between your glove and your hand at the beginning of your dive, which is quickly warmed to your body temperature.  In order to keep you warm, gloves should fit snugly, so that this warm water layer is not constantly flushed out by colder water.

As you dive deeper, your gloves will compress due to the increasing water pressure, which makes your gloves lose some of their insulating capability.  Therefore, you should consider buying gloves that are designed to be warm at the deepest part of your dive.