Power is comprised of real power and reactive power. Capacitance can compensate for poor power factor and reduce the reactive power component. This is why 'commercial' users, i.e. factories/industries have capacitor banks on their premises. These power saving gizmos try to mimic these capacitor banks. There's just one problem - 'domestic' users are only charged for real power, so improving the power factor is not going to help at all. In addition these mosquito repellent sized devices have barely enough capacitance to make a difference.
On a similar note, another power saving gizmo to beware of is one "Magnatron AC power saver", which was heavily advertised in The Hindu recently. I mailed the owner of this device for some details, and some of the answers were downright ridiculous - eg: "the device extracts the cooling energy in the condenser coils" (?!). I later discovered that they also sell other popular snake oil devices like 'fuel saving magnets' and 'magnetic water purifiers'.