which rims for wet roads?

Disc rims?

seriously though, I only have 2 suggestions, consider toeing in the pads so they 'wipe' the rims before the rest of the pad makes contact and secondly the exalith textured rims that Mavic make. 

Braking in the wet is always going to be worse, perhaps just make allowances?

+1 for Swissstop green, aka "SwissStop RacePro GHP II" if you're Googling. They're kind on alloy rims but it also pays to wipe the rims down with a tissue every time you get that brake pad slurry on them. And clean the pads with a nail file to get bits of alloy/glass out.

If you really want to improve 'bite', give the rims a quick wipe with vinegar after the above. But not too often!

If you've never tried Swiss Stop green pads before, give them a try. They're expensive but seriously good.

I'd look at my pads before rims if I was already using standard alloy rims.

yeah - no special rims. Decent brake pads - but you have those anyway, right?  Keep rims and pads clean, and keep your tyres mildly soft, and you are ready for action!

You don't need any special rims for riding on wet roads, as stated above, you just need to take a little air out of the tire, and just be more careful then on dry roads.

The same ones you use on dry roads with a little more care?