Which glass encapsulated component is this?
It is most likely a low-voltage low-current glass gas discharge (GGD) tube. It will not conduct at all until a certain voltage is reached, then the gas ionizes and it become effectively a short circuit until the current is removed. This small size is to suppress back-EMF, that is short-term low-current pulses. These devices can have capacitance values as low as 1.5 pf, making them useful in RF and microwave circuits to about 2 GHZ (in an smd package). For higher currents Transzorbs or MOV's would be used.

EDIT 1: Glass gas discharge (GGD) tubes are sensitive to fast rising or falling voltages. Rise and/or fall times less than 10uS can cause the gas in the tube to ionize quickly, at a voltage much lower than expected. It is a great idea to read all the fine details of a GGD before using them. In some cases such as back-EMF the fast rise time is an advantage, as the GGD will clamp it at a lower voltage than its normal slow rise-time clamp voltage.

EDIT 2: This could also be a tiny Transzorb. They are much like back-to-back zener diodes but can only handle brief burst of low currents. Transzorbs are not meant to be voltage regulators.