Tyres are a well discussed topic on all forums, so you'll get a wide variety of recommendations. Gatorskins get good reviews for puncture resistance, but some report they are a bit slippy in the wet.
I have experience of the following:
Conti GP4000S - Very fast rolling and very good grip wet or dry, but still have puncture resistance. None so far for me.
Vittoria Rubino Pro - Not quite as fast as the 4000S and good puncture resistance. Grips best in warm/hot weather, but aren't feeling so good in cold wet conditions.
I'm about to try some Conti GP 4 Seasons, which have better puncture resistance than 4000S but are nearly as fast (so they say). The compound is also better in cold weather and in the wet.