When I was younger, we lived in a house built in 1992. It had a Square D 200 amp panel. Anyway, I remember where the service came into the house, that there was a cube shaped device that had the Square D logo on each side attached to the wires. It was yellow. Does anyone know what this was for? I have never seen another and can't find anything like to it. My guess is a surge suppressor.

Hard to tell without a picture. I've certainly not come across anything similar here. I checked and the Square D brand is now owned by Schneider Electric, I checked their website and can't see anything, so I don't know 

Sounds like a lightning arrester for the breaker panel.
Square D used to make cube shaped arresters that attached to the side of the panel.

Ah, found one:

Square D

But it sure seems like it was installed on the wires going into the weatherhead vs the panel.

The only cube shaped device installed on the wires going into the weatherhead that I can think of is a connector used by the power company to connect their triplex to the conductors from the meter.