The darker a coffee is roasted, the more the bean will have an oily or shiny finish. The lighter a coffee is roasted, the dryer the bean will appear.
The comparison we use to explain this is grilling a steak. A lighter roasted coffee is a medium rare steak, and a darker roasted coffee is a well done steak. As you grill a steak, the heat is drawing moisture out of the meat. The same applies with a coffee bean. Darker roasted coffees experience more heat and the oily finish is actually moisture that was once inside the bean. The lighter roasted coffees are not exposed to enough heat to pull the moisture out of the bean, so it is locked inside. That's what gives the lighter roasted beans their dry looking finish.