Cling wrap is either made from PVC or low density polyethylene that’s treated to make it stretch. When you unroll the cling wrap, some of the electrons on the surface of one layer get pulled away onto the adjacent layer. This creates patches of positive and negative electrostatic charge. Because cling wrap is a good insulator, this charge persists for quite a while. When you wrap the cling wrap around itself or another insulator (like glass) the electrostatic charge induces an opposite charge in the other surface and the two stick together. If you try this on a conductor, like metal, it won’t stick because the charge is dispersed.