It's used to prevent noise from moving from the input end of the power supply (nearest the PT) downstream into the output end of the PS (nearest the amplifier). The choke keeps the noise from moving through, and the filter caps give the noise a path to ground to get rid of it. This is called an LC network.
An RC network perfeoms a similar function, but uses a resistor in place of the choke. The problem is, resistors also try to keep DC current from moving through. The result is "sag", where the powers supply voltage drops as the amp is played louder. Sag is less apparent in smaller amps, since less current => less sag. Resistors are cheaper, so if manufacturers can get away with using them, they will. Hence, you tend to see chokes more in larger amps (where they are effective) than in small amps (where a resistor is just as good).