Omega-3 fatty acids are polyunsaturated fats. Two types of omega-3 in particular are plentiful in oily fish: EPA (Eicosapentaenoic Acid) and DHA (Docosahexaenoic Acid), which are the most thoroughly researched omega 3s.
Omega 3 fats reduce inflammation by counteracting free radicals which have the potential to damage cells. Exercise though also produces free radicals – which are an important part of adaptation – but in excess can also cause damage, ongoing soreness and pain.
Omega-3 fats are important not just for the brain, but are key in heart, eye, joint and skin health too. The brain is an interesting one, being made of 60% fat it's easy to see the importance of omega-3 fats in brain cognition, visual signalling, reaction times and even mood.