They are the plastic or metal "horns" that go on top of the splined servo output shaft.
They come in a variety of shapes and sizes and are used in many applications varying from rc cars to rc helicopters to robotics, etc.
Those of you into onmi wheels... should see this
Another type of servo horn is what we call servo savers. They are basically servo horns, but they allow the horn to give via springs or similar mechanism so that the servo gears do not break. They are commonly used in radio control steering.
In the kit of parts you should find them in the servo boxes.