IT's because your skin is 'tighter' over fingers and toes, and has less room to contract - the skin contracts everywhere, but because it's normally looser and has more give (hopefully not noticebly so!) on other parts of your body, you won't notice!
Its because of osmosis. The skin on your fingers and toes is not as waterproof as the rest of your body. Osmosis means that water can move from an area of higher concentration to lower concentration through a semi-permeable membrane. Because the water in the bath is at a higher concentration than that in your body, the water sinks through your skin and swells it. In theory if you sat in a bath with loads of salt in it (ie the same or less concentrated than that inside your body), your fingers shouldn't go wrinkley.
Hope this makes sense!