Shut it off, pull the battery out and throw the phone into a container of rice. Or, get a water-resistant phone like the android one I just got.
It also helps to dry it with a hair dryer as much as possible before putting it in the rice. However, if after all that it still doesn't work, you won't be able to get an insurance replacement as there is a small dot on the inside under the battery that (on verizon phones at least) turns blue when wet and red when dropped. The insurance co. knows this and will call your bluff when you try to say "I just dropped it and now it won't work" Just sayin.