Hey Keith-
Welcome to the forum.. I am fairly new myself but I can tell you the guys and gals on this forum are great! They will take care of you..
To answer your question: Why all grain over extract? Well there are a lot of reasons for this, but first and foremost, IMOHO, all grain beer just flat tastes better.. I have been an extract brewer for ten years and just made the leap to all grain a few months ago and I can tell you, straight up, when I tasted that first batch of all grain ale, I immediately could taste the difference (I have since graduated to my seventh batch and it gets better all the time).. Not that you cant make excellent beers with extract, becaue you can and many awards have been won by extract brewers, all grain just tastes fresher and bolder. Also, using all grain gives you complete control over the beer you brew.. It is truly, 100% from scratch... The main reason I switched to all grain, honestly, was because I wanted to make beer "just like the REAL brewers out there".. And all grain gives you that satisfaction. Some people enjoy the ACT of making beer, they enjoy grinding grain, and testing temperatures, etc... All grain lets out the mad scientist in guys like that..
As for the cooler, these are mash tuns.. In all grain brewing, you need to "mash" your grains in water at a consistent temperature for a certain amount of time in order to get the sugars you need for yeast to work on... A picnic cooler just so happens to be made out of food grade plastic and is designed to keep foods at a certain temp.. But instead of keeping food cold, we are keeping liquid hot! These make affordable and easy mash tuns for the average homebrwer.. There are many styles and designs of mash tuns, but the converted cooler is cheap, easy, and proabably the most used system. The PVC dealy-bobbers are basically drains or "manifolds" that allow you to drain the liquid off the grain, without sucking up a whole bunch of grain and clogging your spout.... you will notice that the pvc probabyl has slits cut in it? thats what the slits are for.. Many guys use a stainless steel braid instead of the pvc manifold.. They both acocomplish the same thing.. This is built into the picnic cooler to avoid the need for what is called the "lauter tun" which is just a fancy word for "grain-water'draining-system", or a seperate vessel that allows you to drain your water off thr grain.. (Incidentally, this "grain" water is the same as your canned malt extract.. only we made it ourself!)
I could go on and on, but that's basically it in a nutshell.... Hope this helps
Happy brewing
Chris