A cone filter replaces a filter box and permits the engine to take in more air. In turn, producing a bit more hp/torque(not the 15-20 the manufacturer puts on the box), giving the exhaust a bit more growl and possibly yielding better mileage(negligable). A cone filter is what comes on most aftermarket intake kits.
You can see what they look like in the <a href="http://www.mysporttrac.com/MySportTrac/projects/ColdAirInstall.pdf"target=top>true cold air intake project</a>.