The "Hose from Hell" is a simple water line running to the water-cooled oil cooler. It has a tendency to crack on higher mileage cars and is a major hassle to replace due to its location underneath the exhaust manifold and behind the turbocharger. If your car is losing coolant and/or producing white smoke from under the exhaust manifold, it could be a sign that the HFH is cracked.
Before buying a turbocharged MR2, make sure to find out the condition of the HFH. The replacement parts are cheap, but the labor is very expensive if you have to pay someone to fix it.
See Pat Signorino's HFH FAQ for more details and information on replacing the HFH.