There are some chip capacitors made specifically to absorb ESD (electrostatic discharge) events, but typically “ESD caps” are nothing more than regular chip capacitors placed directly at a connector of a PCB whose primary purpose is to absorb ESD events that occur at the connector before they make their way further on to the PCB to potentially damage components. They are typically just small value (0.1uF is most common), 0603 size (large enough physical size is necessary to avoid breakdown from ESD), medium voltage (50V or 100V is most common) MLCCs. As an example, C3-C5 in the schematic snippet below are all “ESD caps” in purpose.
ESD capacitors are common to see in Automotive and Industrial electronics which are typically high-reliability and very often have each connector pin of a PCB/unit explicitly put through repetitive testing to ensure no damage occurs from such ESD events. Such events are common, especially during vehicle/machine manufacture and maintenance if electrical connectors are being plugged/unplugged. Since any connector pin is effectively exposed to the outside world, human and machine model ESD events can both occur rather easily, and the cost of all the extra capacitor placements and other ESD protection devices is worth paying to avoid catastrophic (especially potential loss of life) or even just expensive (such as having to replace an entire engine control unit because one random IC on the PCB was fried from ESD) failures.
Special made for purpose “ESD caps” are typically just constructed with a slightly different multi-layer geometry to make them more robust against breakdown. They are usually more expensive, but may allow for smaller size (say 0402) chip capacitors to be placed on the board if board space is really at a premium for a large pin-count design.
So why don’t all pins have ESD caps? Well, some nets on a PCB can’t tolerate the extra capacitance, usually because they are high-speed digital communicaitons signals of some sort. In the previous picture, the RS485 lines have a TVS (lower capacitance) protection scheme instead so the signals aren’t distorted (slowed). The actual board layout may look something like this (image courtesy of Texas Instruments SLLA292A).
RS485 isn’t high frequency relative to something like USB, for example, and special ultra-low capacitance ESD solutions also exist specifically for things like USB.