Do jet fighters have air conditioning systems?
Yes. Fighter aircraft have air conditioning systems. In general, they are called as Environmental Conditioning Systems (ECS). Their primary functions (as far as cockpit goes) include,

Cockpit Pressurization

Heating/Cooling/air-conditioning

Windshield anti-fog/anti-ice


The systems usually use conditioned engine bleed air or this purpose. The cockpit air conditioning is usually managed by the pilot. For example, in case of F-15, the following system is available:

Image from f-15e.info
with the available controls listed as,

TEMP switch: A three-way switch to manage cockpit temperature. When AUTO, cockpit temperature is automatically maintained at the temperature selected on the TEMP knob. When MANUAL, cockpit temperature may be changed with the knob, but not maitained automatically. When OFF, it shuts down off ECS air.
TEMP knob: A rotary knob to set the cockpit temperature.
FLOW switch: A three-way switch to select air flow. MIN, MAX and NORM settings are available for minimum/maximum/normal air flow, respectively.
FLOW knob: A four-position knob to set the air source. When BOTH, bleed air is supplied from both engines. When L ENG or R ENG, bleed air is supplied from the left/right engine only. When OFF, no bleed air is supplied.

The following image shows the other controls associated with ECS.

Image from f-15e.info