From the limtied research I've done there are many that have done it. Some install a general application one like a B&M or a Hayden cooler while most go the OEM route since it has the pre-bent tubing with all the correct fittings. I installed a tranny cooler on another vehicle and it wan't too hard so I plan on installing one on my Tahoe.
Here's the GM one for sale:
http://chevrolet.dealerfit.com/store/chevrolet-tahoe-auxiliary-transmission-cooler-prod691_19881.php
I have two questions about this. One is about the towing option. I noticed one had it and I swore it said "engine oil cooler & transmission oil cooler." I have not found any GM part for an aux oil cooler which I would really be interested in. And 2, is about the police package tahoes. They supposedly have an upgraded cooling system, brakes, larger air intake, front brake vent ducts, other oil coolers (tranny, power steering, oil, etc) and lower springs. Now I would imagine most of these parts would be available for general retail. I know they would probably keep the ECU limited to cops since the govenor is set higher, etc, but where can we get a hold of these upgrades. I figure since they are designed to function under severe conditions then those upgrades on a normally driven vehicle would make it last quite a bit longer and you would never have a problem with overheating on any fluids.