I'm just looking at an electric fencer output board at the moment, it's not plugged into the fencer, I'm just testing the components are it has a fault. I'm having trouble with these here though, they read ol for resistance, no capacitance, nothing in diode mode, so scratching my head on what on earth they are, as they have no kind of marking either. They just have a white end, and straw coloured other end, but seem to have no electrical properties according to my multimeter, so not sure if they are just damaged or what.
Some guys ask themself the same question: http://www.anotherpower.com/board/index.php?topic=908.0 and they have come to conclusion that those are VDRs.
I'd guess they're high-voltage diodes.
The ones I've used in the past had such a high forward-biased voltage (about 10v) that the diode test function on a multimeter doesn't recognize them, but considering that their reverse voltage was in the 10-15kV range and they were only used for about 5mA forward current they were acceptable.