The goal of a cool down is to lower the heart rate, body temperature, and breathing rate to pre-exercise levels. A cool down begins with reducing the intensity of your activity (i.e. walking at the end of your jog) which gives the blood a chance to re-circulate throughout your body thus reducing your risk of fainting and dizziness.
A cool down typically concludes with stretches that target muscles that have been overworked during your workout.