Menthol is a hydrocarbon extracted from peppermint that gives the impression of coldness when in contact with human skin. It does not actually lower temperature, but does soothe irritation (which feels hot without providing an actual temperature increase). Chemists have recently begun to find other compounds with similar properties.
The most insidious use of menthol has been in cigarettes, which provide a cold sensation while smoking. The menthol soothed the irritation that the tar and other cigarette ingredients provided, and left the smoker with the feeling of cold air with every breath, even while breathing warm and muggy air. It also tended to conceal the effects of smoking for a few years. Not cure, but conceal.
Now, chemically, there are a few reactions that genuinely remove heat. Chemists call this property "Endothermic," and such reactions speed up in a hot environment, and slow down in a cool one. The reaction stops when all of the products have reacted.