They are ferrite cylinders that are used to suppress high frequency interference. They behave as an in-line inductor on the conductor wires and present a high impedance to the high frequencies of much noise. They just slip over the cable and are coated with a protective plastic casing. Quite effective - that's why you see them so often these days. The particular ferrite material is frequency dependent and the compostion varies over the different ranges.
Cheers
John
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