Heat exchangers are quite common, although the name isn't widely used. Examples include the radiator in a car, in which the hot ethylene glycol exchanges heat with the air to cool the engine. Other examples include the hot water radiator found in many homes for heating, and the freon based heat exchangers found in a refrigerator or air conditioner.
Heat exchangers occur naturally in the circulation system of whales. Arteries to the skin carrying warm blood are intertwined with veins from the skin carrying cold blood causing the warm arterial blood to exchange heat with the cold venous blood. This reduces overall heat loss by the whale when diving in cold waters.