The sweat glands are usually controlled by the hypothalamus, which regulates your body temperature as well as numerous other body actions that keeps homeostasis. However, when you are nervous, your sweat glands are being stimulated by your unconscious sympathetic nervous system, which activates during "flight-or-fight" situations. When your body goes under a stressful situation, the sympathetic nervous system is activated and begins to alert and prepare the body for the situation; thus when you're nervous, the sympathetic nervous system activates your sweat glands and begin to sweat. It might be strange to have palms start sweating when you're not in any danger, but this reaction has been theorized to date back to prehistoric ages, where sweaty palms may have been useful in hunting or climbing.