It's probably just an inductor as opposed to a transformer, but it's possible it's a transformer that the previous owner only used one winding of. Anyway, they're used to create low-pass filters.
The vast majority of guitar tone circuits are high-pass filters, configured in such a way as to pass high frequencies to ground rather than the output. They're very simple to create with just a resistor or potentiometer and a small capacitor. Low pass filters do the same thing, but at the lower frequencies. You just very rarely see them as inductors are expensive relative to capacitors.