Oil is a non-polar substance while water is very polar. The general rule in chemistry for solubility is "like dissolves like" meaning that to dissolve a material, one needs to choose a solvent that is of a like material. The adhesive forces between oil and water is much smaller than the cohesive forces of oil to oil and water to water. This explains why water 'beads' up when dropped on oil or grease or wax (all non-polar substances); water tries to get as close to other water molecules as it can while staying as far from the non-polar material as it can. The cohesive force between water molecules causes the drop of water to form a flat-bottomed 'ball' as it stays as far from the oil as it can.
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Oil's structure is a nonpolar compound, while water's structure is a polar compound. Due to the difference in polarity, the two substances will never mix. These are called "immiscible." The polarity difference is the same reason why water forms droplets on wax paper (wax is nonpolar).