They are insulators, to separate the high voltage lines from the support. Dust, salt, etc. can build up on the insulator, making the surface more conductive. The longer the distance between the wire and the support, the less power is lost, so by making the surface very convoluted, you increase the total surface distance, without making the insulator much longer or heavier. Notice that even the discs have ridges and grooves, increasing the distance.