The part circled in red is the strain relief, separate from the cable itself, and from the connector.
Image taken from http://www.blogquail.com/strain-relief/
Others have already helpfully provided pictures of the common stuff.
It's used where you have a flexible material in contact with a rigid material. Most commonly on electronics it's on cables - between connectors and either connectors (when removable) or into the case/device (when fixed).
The strain relief prevents all the stress (from bending, induced by movement or just gravity) being placed on one location and spreads it out.
Once you know what strain relief is, and you look around at all the cables/hoses/etc in your life - you start seeing them everywhere.
Headphones, Keyboards, Network cables, power cables, USB cables. Just sitting at my desk I can see a dozen or more of them.
