Cooling effect by evaporation
Someone (Casey?) can probably provide a fuller answer, but the basic idea is that ice molecules are kind of locked into place by the molecular structure of the ice crystal, and can't vibrate very much. Increase the energy, and the molecules vibrate more until the molecular attraction is disrupted to become water, when they vibrate a lot. Increase the energy still further and the individual molecules are flying about like crazy, thereby turning into a gas. Water is an extraordinary compound. The energy required to break the attraction between molecules in the liquid state is a whopping 2258 kilo-joules per kilogram - a handy property that brought about the age of steam, and the industrial revolution.

It is this phase transition energy (latent heat) that produces the cooling. The principle of conservation of energy, as applied in nature, requires that to balance the energy gain by the water vapour, there has to be an equivalent energy loss somewhere - hence the cooling effect on the liquid.