I bought these big yellow capacitors from ebay, just to try them
(only information present there: "10pcs Yellow feedthrough capacitors axial capacitors 100V 15UF").
Obviously, they are simple axial capacitors, that have nothing of a "feedthrough". They are not electrolytic as well, since they are not polarised. I suspect they are "film" capacitors but I'm not sure.
Anyway, I found them particularly effective for killing medium to high frequency noise of PSU: Even for a switching PSU whose noise (near 2.5MHz in my case) is particularly difficult to filter, such a single bypass capacitor at PSU output kills half the noise.
Someone knows what are really these yellow capacitors, and for what they are used?