I found a circuit where in the classical Graetz rectifier capacitors were added in parallel to each diode.
It looked something like this:
After the rectifier itself, there was the usual huge capacitor and regulator and so on.
So why the smaller capacitors near the diodes?
Power supply transformers have leakage inductance and parasitic capacitance, and when the diodes in a bridge rectifier switch off these "non-ideal" elements form a resonant circuit that can oscillate at high frequency. This high frequency oscillation can then couple into the rest of the circuitry. Snubber circuits are used in an attempt to mitigate this problem. Just using capacitors doesn't damp the ringing completely, but does cause it to drop to a lower frequency where the coupling effect is less. An RC circuit across the diodes can damp the ringing almost completely.
You can read more in the following excellent paper: http://www.hagtech.com/pdf/snubber.pdf
This question has been around for a while,so here's my 2 cents.When converting AC to DC using a full wave bridge,you have 2 diodes on that are conducting and the other 2 that are not conducting,then the AC changes this yields a positive dc and a negative dc,now anytime you turn on and off a diode it has a time period to be fully on or fully off,when you place a small cap across each diode it helps smooth that out,this Idea is to remove it with a small cap,this also make noise riding on the dc,The big cap smoothes some of this out also, The transformer also contributes to this problem of turning the diodes on and off because the secondary is ringing,so the on off signal that we want to get rid of is turning the diode on and off just a little bit,now what fixes almost all of this is a snubber (look for quasimoto)It shows how to adjust the ringing with a circuit that connects to a oscope. It tames ringing to almost nothing,before it gets to the bridge diodes,so it take less capicatance to get a almost flat DC and your diodes can do a better job!
The caps across the diodes are of very small value and they prevent what is called silicone radiation. When the diode cuts off it happens so fast that it generates a radiation which can be picked up by high gain preamp stages of an Amp for example. This can also be seen on direct mains input to the rectifiers where there are no transformers.
