It is because of forces between molecules called hydrogen bonds. The hydrogen atoms of one water molecule are attracted to the lone pairs of electrons on the oxygen atoms of adjoining water molecules. This attractive force between molecules is very, very weak on one hand; compared to the attractive forces of a chemical bond, the hydrogen bond attractive forces are really small. Over large distances, however, these small attractive forces add into something very, very powerful. An overall sticky effect is created. "Sticky" in that the water molecules are more attracted to each other than molecules of that molecular mass would normally be. Molecules like oxygen gas and nitrogen gas are gases at room temperature. Because of the hydrogen bonding between water molecules, water is a liquid at room temperature.
Because of hydrogen bonds we have lakes and streams. We have capillary action that allows water to climb the trunks of trees to the branches, we have snowflakes, icicles, and icebergs that float on the top of oceans.
Water is amazing.