Using gloves for a vaginal exam has actually not always been standard practice. There are some interesting old reference articles out there about the pros and cons. That of course was prior to awareness of cross-transfer of disease, microbes and so forth. Obviously today it's critical.
You can also find an interesting debate on the use of gloves for a breast exam. The glove opinion is that there is less friction from glove to skin contact than skin to skin so easier to find masses. If you try it on a girl with nodular or dense breasts you can in fact feel the difference they are talking about.
For a play exam I don't use gloves for the breasts, but I like to lay out gloves ahead of time in plain view and then ensure my patient can see me glove up and later apply a nice amount of lube on my fingers ... no doubt to where those fingers are headed at that point.