Water chills rapidly because:
- it conducts 24 times faster than dry air (click here for some values for common materials)
- when it evaporates it absorbs approximately 550 times more energy than just raising its temperature by 1'C - the latent heat of evaporation
- flowing water removes heat by convection, as cold water replaces the water next to your body which you have just warmed (the reverse of this can be experienced when you feel the temperature increase as you move in a hot bath - if you stay still the water is more bearable)
Humidity in the air has a big impact on how hot or cold we feel. Cold damp air feels colder than dry air because it insulates less (conducts more). Hot, humid conditions feel hotter than hot, dry conditions because our sweat can't evaporate as effectively.
Water Chill is one of the reasons that it usually feels colder when it rains but warm, muggy conditions can cause over heating because sweat can't evaporate.
Details of the science of water can be found in Philip Ball's book "H2O".