Closed-cell foamed polychloroprene/(DuPont)Neoprene,
usually sandwiched in-between nylon fabric layers,
contains N2/Nitrogen gas bubbles/pockets which are good thermal insulators.
A tight-fitting wetsuit traps a layer of water next to your body which your body heat warms;
the combination of nitrogen gas bubbles & polychloroprene/(DuPont)Neoprene slows the transfer of heat to the colder water outside the wetsuit.