How do glass tube fuses work?
A glass fuse works by breaking the circuit when rated current passes through it. When the current passing through the fuse exceeds the rated current, the thin wire melts and breaks the circuit.

The glass fuses commonly come in various types:


Fast Blow
Normal
Slow blow


Glass fuse does not contain any gas AFAIK. The glass tube protects the outside environment when the metal inside melts as high temperature can build up. Glass being transparent, helps to visually inspect the fuse to make sure if it is blown.

Following is one kind of fuse holder.



Edit: Further reading on glass fuses.

As Dave suggested, quoting more information
The resistance of a given length of flat fuse wire is inversely proportional to it's thickness. A fuse burns open as a result of Watts generated by the current through the fuse squared times the resistance of the fuse. The Watts are dissipated by the fuse resistance in the form of heat and heat is what burns the fuse open. Therefore increasing the thickness of a given fuse wire lowers the fuse resistance and thereby increases the amount of current the fuse can carry without generating enough heat to burn the fuse open.
Example: Heat is proportional to Watts and Watts = (Amps^2) X (resistance) Therefore the following equation may be used to determine roughly by what factor an 8A fuse resistance must be lowered to dissipate the same Wattage at 16 Amps.
(8A^2) X (R) = (16A^2) X (R/factor)
factor = 4
This indicates that a given 8A fuse`s resistance would have to be reduced by a factor of 4 to dissipate the same number of Watts at 16A. This means that the thickness of the 8A fuse must be increased 4 times to enable it to carry 16 Amps and still only dissipate the same Wattage that it did at 8 Amps.