Ok... curiosity inspired me to do a little more digging...
The data sheet seemed like a good place to start.
Quote:
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The user selects the bandwidth of the accelerometer using Capacitor CX and Capacitor CY at the XOUT and YOUT pins. Bandwidths of 0.5 Hz to 2.5 kHz can be selected to suit the application.
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My suspicions of the usefulness of a capacitor were further confirmed by their explicit instructions to use one. What capacitor size have you chosen and what bandwidth are you trying to achieve?