Depends on the year and model you have
Put that in your signature. The 92 SSE and SSEi began the trend from Pontiac with a stock Transmission cooler, and it continued until 1996 I think. I know the 97 didn't get one. The transmission is the weak point in the drivetrain. Protect it by cooling it before any other mods.
An additional benefit is to your engine coolant. Your transmission fluid is passing through your radiator. This can raise your coolant temps and increase your operating temps, adding risk to the plastic upper intake (if you're not supercharged) and decreasing efficiency.
I have a 1993 SSEi, so I have the stock transmission cooler already, but I still added one. I now also have a transmission temperature gauge, so I can watch it. I'm damn glad I added the cooler.