Closer proximity to all the different vibration sensors in the skin helps with sensitivity as the bulk skin mass kind of acts as a low pass filter -- Consider the sensitivity with which you feel a splinter vs the sensitivity of that object on the skin surface.

Also, some people just seem to have a fetish for poking metal bits into themselves.

Maybe it's good for first dates or something, "wanna feel the lumps in my hand" is a bit more intimate than "wanna feel my glove"