From the Super Mario Wiki
Mario's Gloves are a part of Mario's clothing. He wears them in every game, except the first games, (i.e. Donkey Kong or Donkey Kong Jr.) and in games where he is a baby. Other characters that have gloves include Luigi, Wario, and Waluigi.
Mario's Gloves do not have that much significance in most games, but in Luigi's Mansion, Mario loses one of his gloves and Luigi has to find it. After inspecting Mario's Glove, Madame Clairvoya claims that it is extremely sweaty.