In w3c's own words, XSLT is a language for transforming XML documents.
The default Cocoon Transformer uses XSLT stylesheets to convert the XML stream passing through the Pipeline, either into another XML format or into HTML by selecting, sorting and otherwise processing the XML.
Once you have access to a Cocoon server, learning XSLT will allow you to publish XML-based information in many output formats, depending on the Serializer used to generate the output.
Limitations on XSLT in Cocoon
You can't use the xsl:output method, as this breaks the separation of responsibility in Cocoon. It's the responsibility of the Serializer to determine the output format, not the stylesheet. -- LeighDodds
Obviously, you also can't generate multiple output documents from a single transformation (some XSLT engines have extensions for this, and it'll be formally part of XSLT 2.0). You're limited to returning a single document as the result of a transformation.
Find a list of XSLT resources at XSLT-ressources.