There are actually a bunch of potential answers to this riddle. Items you will find in water that never get wet include:
Your reflection: It appears in the water, but it's not wet.
Your shadow: You may see it on the surface of the water, or on the ground underneath it, but it's still not wet.
The letters A, T, and E are always in wATEr, but they are not wet.
For the science geeks, while this might be stretching it, both hydrogen and oxygen are in water (2 hydrogen atoms and 1 oxygen atom are what make up water), but each are not wet themselves.
As a bonus, although it doesn't fit the riddle, we've included a video of hydrophobic sand: Sand that repels water. Thus even if placed in water, it remains dry: