Even an algorithm as familiar as quicksort is somewhat cache oblivious (but not optimal). Recall that it works by partitioning the array, then recursing on each side of the partition. Eventually, it is operating on a sub-array which fits in cache, and so there will be no more cache misses until it finishes that sub-array and moves on to another one. That's the property we're looking for.
Contrast this with insertion sort, which (to use a technical term) leaps all over the place all the time. So quite aside from insertion sort's need to move O(n^2) items around, it also misses cache a lot when used on large arrays.
Quicksort is some way from optimal, though. Each individual partition phase doesn't divide and recurse - it does a long sequential run through memory churning the cache. Potentially this will happen several times before the sub-array size is small enough that we start winning, so we're not minimising the number of cache misses.