Phase Changes
The first thing you'll notice when you look at a cooling curve is the slopes and plateaus. There are places where the line on the graph is flat, and others where it slopes more steeply. The places where it's flat are the temperatures at which a phase change is taking place -- the steam is condensing to water, or the water is freezing to ice. This part of the curve illustrates an important point: as a substance condenses or freezes, its temperature doesn't change.
Heat Capacity
The next important point about the cooling curve is the slope of the areas between the plateaus. If you drew a cooling curve for steam, for example, the temperature would remain constant while it condensed into liquid water, then it would begin to decrease again as the liquid water began to cool. The slope along this decreasing area is heat capacity -- the change in temperature associated with extraction of a given amount of heat. It will be different for different substances.
Sublimation and Deposition
Some substances have an unusual cooling curve in that they pass directly from gas to solid (or back from solid to gas as you heat them). Carbon dioxide is one. If you cool it, you will eventually end up with solid carbon dioxide, better known as dry ice, without first passing through an intermediate liquid phase. The same holds true for caffeine, which sublimes (goes directly from solid to gas) when heated.
Condensation
The shape of cooling curves reveal a little to you about what happens when a gas condenses into a liquid, or when a liquid freezes into a solid. As the particles in the substance lose energy, their speed slows to the point where the forces between them can hold them together. These interactions release energy, which is removed by continued cooling. Once the substance starts to condense, you are removing energy released by the formation of intermolecular bonds rather than reducing the temperature of the substance, so the temperature of the substance remains constant during condensation and freezing.