For example, I have a MBP connected to an external monitor. I use both screens but hate the fact that I have to go all the way to the left side of the external monitor (which is huge) in order to go back to my primary screen. Say that I'm on my primary screen and I move my cursor off the left side of the screen, I'd like my cursor to appear on the right side of my external monitor. Also, if I moved my mouse off the right side of my primary screen I'd like my cursor to appear on the left side of my external screen. I'm sure that functionality isn't built into OSX, but are there third party products that do this?
Yeah, sure. Use Wraparound (I haven't tried it, but it should do what you're asking). Download it here: http://www.macupdate.com/app/mac/19599/wraparound.
Wraparound does exactly what you are looking for, but it's worth noting for later readers what OS X will do without additional software:
This part you can do without adding Wraparound. Go to:
"Arrangement" only displays when the second monitor is connected. If "Mirror Displays" is unchecked, you will see two or more blue boxes. The white horizontal bar at the top of one box represents the OS X menu bar, which is usually on your primary display (although you can move it to another display by dragging it there).
By clicking and dragging the boxes you can reposition the boxes relative to each other. This lets you place the secondary display is to the left of the primary display, or along any edge other of that display.
This also allows you to position the secondary display higher or lower along each edge of the primary display, leaving corners open on the primary display for any Active Screen Corners that you have enabled in the Expose settings.