A performance intercooler is a device that cools the compressed air before it enters the intake manifold. As the vehicle moves, outside air passes through the cooler and removes heat from it. This is accomplished by fins exposed to outside air. An air-to-liquid cooler has a higher degree of cooling, and is used in performance applications. In this case, outside air passes through the cooler. Instead of fins to dissipate heat, the air passes over a liquid cooling jacket. One side of the jacket is exposed to the heated, compressed air, and the other side is exposed to outside air.
For more info, see Car Tuning: Turbo Tips