The cache is a small quick chunk of memory near the CPU cores, the L1 cache is closest and extremely fast but also extremely small, the L2 cache is bigger and still very fast, their purpose is to hold the information that the CPU needs in high speed memory so that when it needs more information it doesnt have to call all the way out to relatively slow RAM or very slow hard disks.
Most other components dont have a cache, hard disks have a cache of a different sort, its more of a buffer used for holding data that has been read or will be written.