One property of water is a high heat of vaporization. This high heat of vaporization is the amount of energy required for liquid water to turn into vapor upon reaching its boiling point. Sweat cools you down because as it is on your skin, it uses the heat energy from your body to evaporate. It's why you feel cooler on hot days when you splash your face with water or direct a fan on your face. It facilitates the vaporization of the sweat or water.
I hate sweating too, but we do it all the time and it keeps us from overheating! (:
