The main device that most of these products use is called a Peltier device. This is simply an electronic conductor that will heat to very hot temperatures when electric is applied normally, and will cool to very cold temperatures when you reverse the polarity of the charge.
In laymens terms, you know when the travel beverage heater in your car that plugs into the cigarette lighter? (check first link) Yeah thats a peltier device. Or ever put on that product over your neck at The Sharper Image that cools your neck and body? Yep, you guessed it... a peltier device. (second link)
If you want check out hardocp.com's forums there was a guy there who made a beer cooler out of peltiers that worked on usb.. dunno if the post still around but still can find out everything you would need to make one there