The blue component is the Metal Oxide Varistor (MOV). You can see the MOV was burnt. That was caused by lightning strike. The yellow and black wires was connected to telephone line. The red and blue was connected to AC power and the green cable was connected to earth.

Class X capacitors (X capacitors for short) are capacitors with an unlimited capacitance for use where their failure due to a short-circuit would not lead to the danger of an electric shock.

Class Y capacitors (Y capacitors for short) are capacitors for an insulating voltage of U r.m.s =250 V with high electrical and mechanical reliability and limited capacitance.

Safety capacitors are grouped into a number of different classes. For X Type capacitors there are class X1, X2 and X3. For Y Type capacitors there are class Y1, Y2, Y3 and Y4.
The only types you will probably see for sale are X1 (impulse tested to 4000 Volts), X2 (tested to 2500 V), Y1 (tested to 8000 V) and Y2 (tested to 5000 V).

Normal capacitors can ensure that your device is functional but will not provide any protection from shock or interference.

This blue component is the Class X suppression capacitor. The picture was taken by TCT.