The police station in Osmosis Jones was a lymph node, an important part of your immune system. There are hundreds of these all over the body. They are filled with a variety of white blood cells, including B-Cells, T-Cells, and others (like Jones). They serve as traps or filters for foreign particles that are removed from the body in the lymph fluid.
In the movie, Osmosis Jones was a white blood cell. They are also called leukocytes and they are a key part of the body's immune system. There are several kinds of white blood cells, and each has a specific role in fighting disease-causing agents. Some destroy bacteria and fungi and others fight allergens. Still others destroy virus-infected cells or cells that are becoming cancerous. Jones was a combination of all of those.

Photo: Real white blood cells