Why do my disc brakes squeal when wet?
They squeal because water acts as a mild lubricant. That's why things are "slippery when wet" ;)
The water makes it harder for the pads to grab onto the rotors. They'll grab for a small fraction of a second and then let go again, and they do this really fast. Imagine the squeaky sound that a your finger makes when your run it over a smooth wet surface, or the sound your shoes make on a tile floor when you just came in out of the rain. Same sort of thing, only constant.
With bike brakes and disc brakes especially, the braking surface (the rotors for disc brakes, the rim for rim brakes) will find a harmonic resonance and thus the really loud tonal squeal.
All brakes have the potential to squeal, especially when wet. I wouldn't worry much about it unless you find that your braking power is being significantly reduced. In such a case, try some different compound pads. Metallic pads are generally considered to be superior in adverse conditions but they're also loud as hell in the rain/mud. 
Everything is a trade-off, don't ya know?