mine actually does that when it's wet, and if i'm not moving around a lot while it is drying my hair stays like that. It's kind of cool actually... people always ask me if i gel my hair.
It's wax. Get water-based wax so it can wash out easily or else the oil-based ones will make your hair feel greasy and sticky. There's a Garnier hair wax product called "Surf Hair" and you get that effect with it. I think it might only be here in Australia. You have to go check you store...