It relies on differences in surface tension. If a liquid has a lower surface tension (energy) towards one surface than another, you get the typical capillary effect. In the case of water, the water-air energy is lower than the water-<whatever your capillary is made of> energy, so you get a capillary effect.

If water had exactly zero surface tension against every interface,

• it would not exhibit any capillary action
• life on earth would cease to exist quite quickly
• your socks would remain dry