Water = washing
Oil [Sacred Chrism] = anointing/sealing with the Holy Spirit
Candles = light of Christ
White Gown = purity
Going in and out of the water = dying and rising

Holy Baptism is the base of the whole Christian life, the gateway to life in the Spirit, and the door which gives access to the other sacraments.  Through Baptism we are freed from sin and reborn as sons of God; we become members of Christ, are incorporated into the Church and made sharers in her mission: "Baptism is the sacrament of regeneration through water in the word."
Catechism of the Catholic Church 1213

1. The removal of both Original Sin and personal sin
2. The sealing with the Holy Spirit.  In otherwords, at Baptism God saved us and marked us as His as we became a "new creature" in Christ and became part of the Church, the body of Christ.

see CCC 1262, 1265