Recently there has been considerable interest in field theories and string theories with large extra space-time dimensions. In this paper, we explore the role of such extra dimensions for cosmology, focusing on cosmological phase transitions in field theory and the Hagedorn transition and radius stabilization in string theory. In each case, we find that significant distinctions emerge from the usual case in which such large extra dimensions are absent. For example, for temperatures larger than the scale of the compactification radii, we show that the critical temperature above which symmetry restoration occurs is reduced relative to the usual four-dimensional case, and consequently cosmological phase transitions in extra dimensions are delayed. Furthermore, we argue that if phase transitions do occur at temperatures larger than the compactification scale, then they cannot be of first-order type. Extending our analysis to string theories with large internal dimensions, we focus on the Hagedorn transition and the new features that arise due to the presence of large internal dimensions. We also consider the role of thermal effects in establishing a potential for the radius of the compactified dimension, and we use this to propose a thermal mechanism for generating and stabilizing a large radius of compactification.