Wet or dry are your choices. Dry gloves are very bulky and awkward, but potentially the warmest. However, air needs to be able to travel into them from your suit or they'll compress to uselessness on descent. You also can't remove them underwater. A glove is the most likely place to get a puncture, and if you use a ring system, a leaky glove means a leaking suit.
A good pair of wet gloves is less bulky and less problematic than dry gloves. In extremely cold conditions, 3-finger mitts are probably the warmest wet gloves you'll get. Wet gloves can be awkward to put on, especially when wet. Disposable plastic gloves such as are given away at petrol stations makes sliding your hand in effortless.