The iPhone/iPod touch uses (roughly) electrical fields from your fingers, that's why a stylus won't work as well.
That said, if you don't want to take off your gloves/cut a finger hole you can try to buy specially made gloves. They aren't widespread (although they may become so after we enter the first post-iPhone winter (ok, that could be interpreted badly like a post-nuclear winter, but whatever)) but I've included one link that a quick search revealed. There may be others.
http://www.tavoproducts.com/TavoGloves.html