It is much like any other muscle rub but nongreasy. The menthol in the solution causes skin irritation~heat~ and the alcohol evaporating causes a cooling sensation. The sensation of these two feelings keeps one from feeling the underlying muscle or bone pain for awhile.
When used with an oral analgesic, the Biofreeze can override the pain symptom long enough for the oral med to kick in, or can override the pain sensation long enough so that one can move stiff muscles and loosen stiff joints without experiencing pain during the process.
ETA: Family Dollar has a cheaper version that works as good and as long for about $1.65 a jar.