Quenching is process of strengthening and hardening steels and alloys.  Quenching is the quick cooling of a hot metal, such that the phase transformation do not occur. The hardness is increased as the crystal grain size is increased. 

Quenching is done in oil or in water.  The medium is chosen depending on the level of quenching desired.  Quenching in water can sometimes cause too much hardness that the material may crack.  In such situations, oil may be chosen.  Salt baths and special polymers are also used in special applications. 

Quenching Rate
Quenching rate is the rate at which the drop in temperature has to occur.  Oil has a quenching rate lesser than water.  It means that the temperature will fall less faster in oil than in water.