Those who know me, know that I prefer maduro or oscuro cigars - something about that dark chocolate-appearing wrapper... And since men are visual creatures, I often find myself admiring the wrapper and the pre-smoke construction for at least 10-15 minutes before lighting up. Although colorado, natural, and claro wrappers may appear oily, the it is more appreciable on the darker wrappers, such as this CAO Brazilia.
All cigar wrappers are oily to some degree; however, some wrappers have a more oily or shiny appearance than others. You may read some cigar reviewers describe a cigar wrapper as "toothy", which are small bumps of oil that can give a cigar an even more distinctive taste and aroma.
The growth and processing of tobacco leaves contributes to the amount of oil they contain. Leaves that are picked before they reach maturity will likely contain less oil than fully mature leaves. If the leaves are then dried rapidly, as is done for wrappers on the light side--double claros and claros are good examples--their oil content will go even lower.
Another factor that may dictate oil content is the amount of sun that hits the leaves while they’re growing. Therefore, shade-grown leaves (grown under cheesecloth) are lower in oil than tobacco that grows in full sun, as the sun stimulates oil production in the leaves. Combine a sun-grown leaf with long fermentation and roasting, such as done with tobacco intended for maduro wrappers, and you can end up with wrappers that literally glisten with an elegant sheen of surface oil.
The look and feel of an oily wrapper is a great thing, as it signifies that the cigar has been stored properly, in the proper humidity to permit maintenance of the proper moisture and their essential oils.