Oil coolers are a sometimes-opional component similar in appearance to radiators and intercoolers, and use air from the grille or other source to transfer heat away from the oil.
The oil is pumped through the heat exchange area of the oil cooler so the heat from the oil is transferred to the air around the oil cooler.
Cooler oil lasts longer (since heat degrades oil over time) and helps keep the overall temperature of the engine lower.