The turbocharger is a pretty
magical
device; it takes the seemingly
useless exhaust gasses and uses them to drive a turbine, which then compresses extra air for the engine. If one is willing to put up with the
turbo lag, they are quite a nice way to pick up some extra
horsepower. Some turbos are very high-tech, with variable-geometry exhaust turbines, made out of trick ceramic materials.
Turbochargers, it is worth noting, require a certain amount of time to spin up and begin supplying the extra air to the intercooler or intake manifold. The cool noise they make is the high-pitched whine produced by the turbine.
Why aren't many race cars turbocharged? Because the rules for many classes stipulate that the engines must be normally aspirated, as opposed to using a turbo or supercharger.