Unless you plan to scuba dive under ice floes in the Arctic -- which some sport divers do -- stick with neoprene wet suits. They provide thermal protection for the wearer. The thicker the neoprene, the warmer the wet suit. Wet suits allow a thin skin of water to soak the diver. The trapped water is warmed by the diver's body, providing an additional layer of heat.
Neoprene is a heavy sponge-like fabric made from rubber. So it also also offers some protection for the diver against sharp or rough objects, such as coral rock or barnacles.