I'll take a stab at explaining the theory, I'm sure Greg and others will keep me honest
If you take a wire and run a voltage (say, 12 vdc) through it to a load, the current flow will produce a small magnetic field around the entire length of the wire. If you now take that wire and wrap it around a pencil a few times you will have created a coil, and the area around this coil will have a larger magnetic field around it. If you then remove the pencil from the center of that coil, and replace it with some kind of ferrous (magnetic) material (ferrite works very well) you will now have a Much Larger magnetic field around the coil.
This is what you're doing with a choke. You're creating a larger magnetic field around one spot on the wire(s).
As it happens, a magnetic field likes to stay stable. It is reluctant to change. The stronger the field, the more reluctant it is to change.
Now lets say that some high frequency noise gets on our wire(s). This signal is going to increase the magnetic field when it is positive, and subtract from the field when it is negative. And it will be successful, until it hits the (relatively) large magnetic field created by the choke. This larger, stronger field is much more reluctant to fluctuate up and down, thereby blocking (attenuating) the high frequency noise.
That's the basic principle. I've ignored a lot of details in trying to keep this simple, so please be gentle...
<dons asbestos suit>
"We must fall back upon the old axiom that when all other contingencies fail, whatever remains, however improbable, must be the truth." - Sherlock Holmes