Feedthrough capacitors provide a low impedance path to ground for high frequency signals. This allows any undesirable high frequency noise to bypass the functional circuit.
They also act as small power supplies laid out all over a PCB. So, after the initial power up, this allows current to be transferred from the capacitors to the components that need the power, rather then having the current travel all the way from the power supply to the component needing the power. This not only provides cleaner energy for the component that needs the power, but it also reduces the number of large current loops traveling through the whole PCB.