Ok, I have seen two types of them, mostly in old tv tuners.
The most common ones are feed through decoupling types. They connect one lead in both the in and out and the other lead (body of the cap) is connected to the ground. They are mostly used to decouple DC into the circuit.
The other type is the feed through for signal. The one lead is connected to the in and the other to the out. They may still have their body soldered on the box for mechanical strength in some few cases. They are used for signal passing in and out of the box.