Technological approaches to refrigeration tend to involve either high compression ratios of fairly exotic (from a biochemical point of view, anyway) volatile substances, or high-power, low-efficiency solid state electronics.
Neither of these seem particularly practical paths for a living organism to take for lowering its temperature.
What earthling biology has come up with is the equivalent of a swamp cooler--i.e., sweat--which dumps heat into the energy of vaporization of a consumable volatile substance (water). But if the air is already saturated, or you get dehydrated, you're screwed--a swamp cooler or sweat gland can't function anymore.
So, is there a plausible mechanism by which an organism could evolve to actively pump heat into the environment (i.e., refrigerate itself) in a closed-loop system that does not require wasted consumables like sweat?