cheba: You feel cooler in front of the fan for two reasons: 1. the water in your skin (it's always there; microscopic sweat in essence) evaporates which cools you, 2. nerve endings which sense temperature actually sense change in temperature - if your body is getting cooler you feel cold, if your body is getting hotter you feel warm. To prove this, run one hand under hot water for a while, then run both hands under cool water. You'll notice that the hand that was in the hot water feels significantly cooler.
As for your computer, there is nothing to evaporate, and you're aiming to lower the absolute temperature. Thermodynamics says that when two substances make contact (in this case the air and your processor HSF), the temperature of the hotter object cannot drop below the temperature of the cooler substance.