Originally posted by AThousandYoung
A thread on this topic:

http://forum.allaboutcircuits.com/showthread.php?t=68669

EDIT - Looks like gfudge beat me to it.

I missed the part where you said it was tied to one of the fuses on one end and the other to ground. That would make it for sure some kind of surge protector. Do you have a schematic of that board? I think I mentioned Sams, they probably have a schematic if you don't. They must have REALLY wanted protection if they have several varistors AND that device too. If it was hooked to the hot side of AC and the other to ground, it would have to be normally in a high impedance state, otherwise it would shunt the power to ground. It might be a protection for the AC lines, say if the HV, 20 Kv or so, managed to find it's way to that circuit, it might be there to short out to prevent 20 Kv from hitting the ac lines and maybe killing someone near the lines. Or scaring the snot out of them anyway🙂 I guess it would give protection going both ways though, if lightning came in the AC lines it could also shunt high voltages to ground. A gas discharge tube then. The only thing confusing is your description of the thing having what looks like a coil of wire inside.
There could still be some kind of gap inside that wouldn't conduct till it reached some limit, like 400 volts or something.