The answer is yes, they work.
The research was done by students at the University of Washington, they say the science goes like this.
When it comes to keeping things cold what matters most is humidity. As cans sweat they more quickly lose their ability to keep things cold.
At 35 °C and a relative humidity greater than 60%, the temperature rise due to latent heating exceeds that due to heat transfer from dry air: Latent heating is the dominant factor warming your cold beer. The rate of latent heating decreases as the outside of the can warms, and the heating ceases completely once the can’s surface temperature exceeds the dew point (the temperature to which air with a given water-vapor content must be cooled to become saturated) and water no longer condenses on it.
The published findings say:
In short, keeping your can of barley pop or soda dry, will keep it colder.
The author of the study is Dale Durran, he told Physics today "probably the most important thing a beer koozie does is not simply insulate the can, but keep condensation from forming on the outside of it."
So while you may have always thought it worked, now you can impress the other lake goes with your knowledge of all things science when it comes to koozies.
And remember, koozies also make outstanding key floats.