Why do puffed rice stick to wet hands?
This thesis, (Texture and Hydration of Expanded Rice, Clive Norton, September 1998), has a vast amount of information on rice, including puffed rice.

Rice is mostly starch, which when heated is gelatinised. This causes "the breaking of hydrogen bonds between poly-α-1,4-glucan chains, leading to loss of crystallinity" allowing those hydrogen bonding sites to absorb more water. The loss of crstallinity also leads to air pockets making puffed rice sponge like. The starches become "interspersed with gas pockets" which are filled by water through capillary action. 

So, puffing makes the starch more hydrophillic, exposing hydrogen bonding sites, and the air pockets act as capillaries. The puffing also increases the ratio of surface area to weight. These factors cause the rice to be liftable with a "water chain".