First off, do not attempt to turn on a water damaged iPhone. Your iPhone logic board will immediately short out which will add to the cost of repairs if you attempt to turn on an iPhone while wet inside. Think of a hair dryer, you don't want to turn it on after you dunked it in the bath tub, right?
Secondly, do not use a hair dryer, microwave, or stove to dry the water out! A stove, really? If you use a blow dryer, the water will spread and evaporate, which will cause the corrosion to grow faster. You can also 'fry' your logic board with the excessive heat.
Now that you know what not to do, here is what you need to do quickly in order to save your iPhone! First, remove your SIM card and shake out any excess water inside your iPhone. Next, put the iPhone in a bag of dry rice for 2-7 days. The rice will act as a sponge, soaking up any extra water left inside of your iPhone. After the waiting process, plug the phone into a charger. PRAY. If the charging symbol comes on, then there's a good chance that the phone will likely boot itself back on when enough of a charge has been reached. Congrats - you did it!
If you don't see anything on the screen within 3 minutes of plugging it in, then unplug it from the wall without attempting to turn it on. Return it to the bag of rice for another 48 hours or more. Then repeat the plug in process again. If you don't see anything on the screen to indicate that it is charging, then you have likely caused permanent damage. Your only hope is to try a professional repair shop at this point.
Other tips and advice:
If your iPhone is still covered under an Apple Warranty, go first to the Apple Store or call Apple Care. You may be able to get it replaced for as low as 199. We are hearing more and more that Apple is being more lenient regarding situations that involve water damage. (It also helps to be REALLY nice to the people at the Genius Bar.)
Also, if you bought your iPhone from Best Buy, or used a credit card that offers protection, then you may be able to get some of your money back or get the phone replaced for free. Don't forget to check these options!