Possible Duplicate:
What is that cylinder on cables?
What's this part?

It is a Ferrite Bead.
They're used to reduce and dissipate high frequency noise.
To prevent it from moving on the cable, it is overmoulded with plastic.
Functionally, it is a dissipative low-pass filter. It's basically an inductor with very high reluctance, so the magnetic field which it forms get dissipated as heat, rather than reflected back on the cable.