The most efficient wing, aerodynamically speaking, is infinitely long. The reason is the nasty stuff that happens at the wingtip, basically as the result of lazy air. Air wants to go around the end of the wing, instead of over the wing where it has to do the heavy lifting.
An infinitely long wing raises problems of fitting into airports, structural strength, and so on, so real wings are somewhat shorter than that. This is a design compromise: designers make them as long as possible, until the added weight you need to hold things together exceeds the added lift you get from making the wing longer.
Winglets recreate some of the effect of an infinitely long wing by creating a "wall" that makes it harder for air to go around the end. Some of the air now finds it easier to stay on the wing, despite having to do some lifting there. A bit still spills over because the winglets aren't infinitely tall. Another design compromise.