There are two types of feathers geese have: down feathers and contour (flight) feathers. Down feathers trap layers of air to form an insulating layer to protect the goose from cold water and air. Contour feathers protect the goose from the elements like rain, sleet, and snow, and also create a streamlined surface for flight.
These down and contour feathers trap air underneath the goose, which provides plenty of buoyancy to keep them afloat.