I never play with a glove and try to avoid playing in persistent rain. Last Friday heavy rain started after a few holes and we decided to pack it in playing the 8th and 9th on the way in. On the 9th tee a combination of cold and wet hands almost saw my 8 iron fly from my grip. It gave me a jolt imagining the damage that could have been caused - I'm going to invest in some wet weather gloves just in case.
I recall from reading a book a while back that the "reason" for one glove was because golfers used to hit off mounds of soil instead of a wooden tee and they used a glove to avoid their hands from getting dirty while building the little mound of soil.
In modern times it makes sense to me that a glove on the left hand is needed to best grip for a right handed players as they swing through towards the target.