Most of the pain relieving gels are a topical analgesic which will help numb down the area/superficial pain receptors. The cooling/heating/tingling effects are all a result of the particular active ingredient that product uses.
Voltaren is an NSAID that comes in pill or topical gel form. The penetrating effects of any gel can be limited to a relatively small depth. Ive found voltaren helpful for superficial issues (distal ITB, patellar tendon, triceps tendon, wrist etc), mostly tendons that may be aggravated over a few days that don’t go away with some rest. Some people may even get some relief around the joint lines if lucky.
So it really depends on what you’re looking for. Its a personal preference and as many have said, smell, residue, application etc all weigh in here or there.
Ive tried icy hot, rock sauce, tiger balm but personally don’t like the heating effects, so Ive stuck to biofreeze, mineral ice etc. if I even needed any help. Mostly placebo for me anyways I feel.