Identify this electronic component
Trace out the circuit and draw a schematic. 

It looks like there are resistors in series on L and N feeding a bridge rectifier. That device is probably a surge arrestor across the inputs to the bridge rectifier. It may have given up its life to save the rest of the circuit.



Response to comments:


  Then I could connect it again without substitute it, couldn't I? And "probably" it will work?


If it did its job then your circuit may still work. You didn't explain why you were looking at the circuit in the first place. If it does work and you get another occurrence of the "spike" that caused it to die then your circuit has no protection. It's your choice!


  The strange think is that I think one side is connected to ground.


That would be odd if there is only one device as there would be no protection if the live and neutral were swapped. For dumping transients to earth normally one arrestor would be fitted L-E and another N-E.