Assuming you are talking about sanding paint:
Color sanding is the process of using progressively finer grit sandpaper to remove defects from the surface of painted automotive body panels. The initial rough sanding with coarse paper is done to level any high spots and remove runs or sags in the finish. Once these have been addressed, successively finer grits are used until the surface is smooth. The final stage in color sanding is to use ultra-fine 1500-2000 grit paper to remove any haze left from the previous sanding stages and prepare the surface for polishing.
Wet sanding is a similar process but instead of using dry sandpaper, wet abrasive paper is used along with water (or another lubricant) to lubricate and cool the cutting action. This prevents clogging of the abrasive paper and also reduces dust production. Wet sanding is often used as a final step before polishing to achieve an ultra-smooth finish.