When oil is found in engine coolant, it resembles the consistency of a milkshake. These two fluids mixing is very bad, because it means that a major engine gasket has failed, creating an internal leak which can quickly destroy your engine. The most common way oil and coolant mix is when a head gasket blows. Less likely is a cylinder head with an internal crack between oil galleys and coolant passages. Even less likely is an engine block with a similar internal crack. Inspection of the head gasket by a trained technician will determine whether the head gasket is the cause in 9 out of 10 cases.
For more info, see DIY Car Maintenance Servic: What to Do Yourself