This is too complex question to give a short answer and the one of the major aspects of studies in dermatology. There are many factors that define skin penetration. The skin is protective organ, hence it defends the body from nearly any outer substances including those that we consider “good” for us. However, there are two most important factors - the structure of the Stratum Corneum (lipids+water with the components of the Natural Moisturizing Factor), and the molecular weight of a compound that is supposed to be penetrated. There is even the “rule” in Dermatology - the rule of the 500 Daltons. According to the rule, molecules greater than 500 Daltons cannot penetrate the skin barrier. In fact, the molecules greater than 500 Da can penetrate with the aid of enhancers (for instance glycols, solvents, surfactants or Urea). All the penetration enhancer affect the structures of the Stratum Corneum. Basically, the lipophilic ingredients have much better penetration potential than water soluble, the w/o emulsions and lamellar emulsions are most efficient form for the delivery and penetration than o/w emulsions while water based gels, water solutions are the least efficacious due to their nature.
You may find out more if you read the special literature. I recommend to study works by Albert Kligman first, the father of the modern Cosmetology and Dermatology. He also found a doctrine of Corneology and Corneotherapy - the science that researches the Stratum Corneum. I bet this knowledge enormously helps any formulators and cosmetic chemists/pharmaceutical chemists in their work.