Better known by brand names such as Bengay or Asperchreme, these product are essentially aspirin (in the form of Methyl-salicylate) in a cream, plus other additives that cause sensations of heat and cold (in that order).
As I have discussed elsewhere, long term oral NSAID use (ibuprofen, naproxen, etc) has some significant potential downsides, (heart burn, and eventually, ulcers) which is not true for topical creams. It is certainly worth giving then a try, though they are probably better for mild pain - I don't find them sufficient for severe pain.
There are lots of varieties, but they all pretty much contain the same three chemicals, though in slightly different ratios. Interestingly, some products will only list 1-2 of the chemicals as active ingredients, but often the other 1-2 will then show up as inactive ingredients. I guess they are trying to differentiate themselves, but it seems pretty dishonest to me. Also, they don't have to list how much of the 'inactive' ingredients they include, making less clear what you are actually getting.
The three chemicals are:
(1) Methyl-salicylate(sometimes another salicylate bonding is used, such as Trolamine) is just a way to deliver aspirin. It is the most important ingredient in these kinds of creams. This means if you have habituated to aspirin already these products probably won't do much good. For this reason I advise avoiding aspirin in pill form. Better to save its effectiveness for topical use, where the chance of stomach complications are much lower.
(2) Camphor - another topical analgesic, which produces a cooling feeling.
(3) Menthol - another cooling agent, which has the side effect of making the skin more permeable, allowing the salicylate to penetrate deeper. Menthol is also responsible for the strong smell of these products. For once, the 'fragrance' actually has something to do with the effectiveness of the product and isn't just added to improve marketability.
In addition to pain relief, there are a couple of other notable aspects of applying these creams. First, they all smell (of wintergreen (menthol), usually, though sometimes other fragrances are added as well). You'll get used to it. More notably, they burn a bit when applied. This actual contributes to the pain relief a bit, and becomes less bothersome as you get used to the creams.
You can limit the burning sensation to the area of application by wearing gloves. Unfortunately I've found that nitril gloves don't block absorption completely. Another cheaper option which actual seems to offer better protection is to use a sandwich bag to cover your hand. It is a bit more awkward at first, but much easier to put on and take off than a regular glove, and a heck of a lot cheaper. Once you are done with the bag, you can leave it in-between your skin and your cloths to prevent the cream from rubbing off.
Other pain creams
There are a few other options that are not aspirin based. You can now buy ibuprofen in a topical cream. This is a recent development, so hopefully the price will come down as more places carry it. There are also some prescription NSAID creams, but these can be quite expensive and I have not tried them.
For something entirely different consider one of the hot-pepper rubs. These burn like crazy, but do seem to reduce pain after the burning subsides (which can take a while, perhaps as long as an hour). While a small tube will set you back $10, you only need a small dab, so it's relatively affordable. If you give this a try be sure to use as little as possible the first time, as the burning can take 30 minutes to develop and you really don't want to overdo it. I find it makes my skin pretty sensitive so try to use it at a time when you don't have to wear clothing over the affected area.