Ever used a cooling spray, or sprayed yourself with liquid butane while filling a lighter? The evaporating liquid carries away a lot of heat, so it feels cold.

Refrigerators do the same thing essentially, but in a closed tube, and then they recompress the evaporated gas to squeeze the heat out (this happens in the warm tubes you'll find on the outside rear of the fridge), so that it can go around and work as a cooling spray again.