They come in two kinds - chains and stretchers. Chains restrict the motion of the horse's legs. Stretchers apply resistance on the grounds that when the stretcher is taken off, the horse's motion will be easier (just the same as human resistance band training) and thus more active.
There's a lot of controversy about their use. Some people think all gait or action devices are cruel. Some people think stretchers are alright and chains aren't. Or that chains are fine up to a certain weight.
I'm personally inclined to lean towards chains no, stretchers yes as long as they aren't over-used (which any training device can be).