During training your muscles will work hard and as a result will produce waste products, which means that cooling down properly is very important. You should to do an active cool down (in most cases a jog and stretches) after sessions. This raises the heart rate slightly, which pumps more blood round the body and flushes these waste products away from the muscles.
A similar jog to the warm up is advisable.
Stretching after a session is also useful, although frequently time or willpower means this is neglected.
If you can summon the energy, it will help reduce stiffness in the following days and can also help with the prevention of injuries.
Static stretches are the best ones to do at this stage of a session as they help lengthen muscles back to their state at the beginning of the session.
It is worth spending a few minutes cooling down as it will reduce your recovery time and can even help prevent you getting injured and being out for weeks or months.