(read the title then read the post, please) Hmm, i had this experience before. Luckily, i managed to get my finger out before any real damage was done to my skin. So here's the explanation i found - summarised:

When the skin touches the ice, the body secretes tiny amounts of sweat as the ice is very cold. When i mean cold, i mean the temperature that ice melts: 0 degrees celsius. Before i continue, i need to explain something about sweat. Sweat is a salty substance that makes your skin sticky so thats why you feel very sticky after you have exercised. Sweat too, is also use for grip. Confused? Let me explain, and give you an example: a gecko. This is a picture of a gecko's pad (which means the feet)



In order for the gecko to say, climb up a wall, it needs to secrete a fluid that enables it to stick on the wall. So its the same for humans, just that we humans can't climb up a walls (except spiderman, but he's half spider so that doesn't count). Do note that the 'sweat' in humans and the 'sweat' in lizards are very very different.


Ok, back to the topic, since there's liquid on your skin, it only makes sense that the liquid freezes the liquid on your finger and as liquids have no definite volume, it can cover all the nooks and cranny on your finger and thus causing the ice to stick to your finger. If you were to pull out your finger strongly, your skin would be ripped as the frozen sweat is connected to your skin. But, if your finger gets stuck in an ice cube, its ok, because the body also gives out heat energy and it usually melts the frozen sweat back into liquid sweat.

You know, you really got to feel sorry for those living in Antartica cause the temperatures over there are plunging low and any contact with liquid and the cold and turns it instantly to a solid(ice). Wow, they must really take alot of percautions then but at least they don't have any NAPFA test. ;D