More coverage faster, and the foundation stays put longer. I'm able to cover a sunburn with wet application, too (although not any more - I have a week's worth of sun exposure and squinting to contend with now, and have to find a new shade! LOL!)
For eye shadows and liners, wet helps the colors really pop and the liner to stay put. I adore faerie sparkles and metallics and smoky rocker-girl eyes, and foiling the minerals makes dramatic looks SUPER easy to do.