Question about PSU filtering

[Ice-9]

I've pretty much finished my split rail +/-15v psu design but was wondering if anyone can answer a little question about filters in the input.

The design runs from a 16v ac adapter into 2 diodes as a full wave rectifier then into caps and 7x15 regs. (standard stuff really) I have seen many similar designs that have small inductors/filters between the the power from the adapter and the rectifier diodes.

What is the advantages and disadvantages of this. Is it just to clean any noise from cheap wall wart psu's.