The most recent research on the subject explains that it all comes down to sweat. Drinking something hot will initially warm you up, but once you start to sweat from the heat of your drink, that perspiration will evaporate off your skin, releasing energy into the air around you and making you feel cooler in the long run.
What this theory (unfortunately) leaves out is the possibility that you’re already sweating when you sip your java — in which case, a small amount of coffee-inspired sweat evaporation won’t make a noticeable difference. Plus, in order for your sweat to evaporate to the point that you can feel it, you have to be: a) not too hot; b) not wearing too many layers; and c) not hanging out anywhere that’s too humid. Basically, you need to have Goldilocks-like abilities to gauge when conditions are “just right” for a cooling cup of hot coffee. Otherwise, you’re probably better off just having that Frappuccino — or at least leaning it against your forehead.