A quantum system (with Hilbert space $\mathscr{H}_1$) entangled with its environment (with Hilbert space $\mathscr{H}_2$) is usually not attributed a wave function but only a reduced density matrix $\rho_1$. Nevertheless, there is a precise way of attributing to it a random wave function $\psi_1$, called its conditional wave function, whose probability distribution $\mu_1$ depends on the entangled wave function $\psi\in\mathscr{H}_1\otimes\mathscr{H}_2$ in the Hilbert space of system and environment together. It also depends on a choice of orthonormal basis of $\mathscr{H}_2$ but in relevant cases, as we show, not very much. We prove several universality (or typicality) results about $\mu_1$, e.g., that if the environment is sufficiently large then for every orthonormal basis of $\mathscr{H}_2$, most entangled states $\psi$ with given reduced density matrix $\rho_1$ are such that $\mu_1$ is close to one of the so-called GAP (Gaussian adjusted projected) measures, $GAP(\rho_1)$. We also show that, for most entangled states $\psi$ from a microcanonical subspace (spanned by the eigenvectors of the Hamiltonian with energies in a narrow interval $[E,E+\delta E]$) and most orthonormal bases of $\mathscr{H}_2$, $\mu_1$ is close to $GAP(\mathrm{tr}_2 \rho_{mc})$ with $\rho_{mc}$ the normalized projection to the microcanonical subspace. In particular, if the coupling between the system and the environment is weak, then $\mu_1$ is close to $GAP(\rho_\beta)$ with $\rho_\beta$ the canonical density matrix on $\mathscr{H}_1$ at inverse temperature $\beta=\beta(E)$. This provides the mathematical justification of our claim in [J. Statist. Phys. 125:1193 (2006), http://arxiv.org/abs/quant-ph/0309021] that $GAP$ measures describe the thermal equilibrium distribution of the wave function.