Why do volatile substances, like alcohol and acetone, produce a cooling effect on a

surface from which they evaporate?

Evaporation is an endothermic process, which means that in order for a liquid to evaporate, it must
absorb heat energy from its surroundings. This thermal energy can be borrowed from the average
kinetic energy of the molecules on the surface if the liquid is in touch with it. Because temperature
is just a measure of average molecular kinetic energy, every process that depletes the kinetic
energy of a substance's molecules causes its temperature to drop.
Because volatile liquids evaporate quickly, they remove heat from surfaces faster than less volatile
liquids. That's why a small pool of alcohol or acetone on your skin would cool off faster than a
puddle of water of equivalent mass.