They come standard with aluminum louvers that go in the ceiling below the fan, but they leak air horribly, and aluminum conducts heat/cold really well. There are more avanced models that have a kind of second door system above the fan that are heavily insulated.
My home came with one, so I use it occasionally. I would never pay for one because where I live it is only useable for a few weeks a year:
Summer: It cools off at night but remains humid outside, so using it will suck in humidity that your AC has to work hard the next day to get rid of.
Winter: No point.
Spring & Fall: Sweet spots are those days when it cools off at night but humidity is low, and you actually need cooling.
When it runs, they can be loud. You have to open lots of doors and windows for a source of intake air, and you need good screens to keep from sucking in bugs. Still, tiny aphid-sized bugs and dust and pollen will come in. The fan also effectively pressurizes your attic, so if you are not all sealed up you will have dusty attic air coming in backwards through your bathroom fans, and any wiring holes, or other attic penetrations.
Energy-wise, they are not free. It will use maybe a quarter of the power your AC uses, but if you have to run it four hours when one hour of AC run time would bring you to the same comfort level, then it's a wash.
Overall, depends where you live. In the desert like AZ or NM, they would be more effective. In humid zones, not so much.