A diagram of capillaries, courtesy Wikipedia Commons
Capillaries are the smallest blood vessels in the body. They are about the size of a single red blood cell, and reach into every tissue of the body. Most of the transfer of oxygen and nutrients into cells, and waste and carbon dioxide back into blood, takes place at this level. Capillaries are fed by arteries under pressure, and drained by veins, which move blood through muscular contraction.
When a patient is bleeding, most of the blood is released from capillaries, which are closest to the surface of the body and the body's organs. However, certain diseases can cause capillaries to break down without external damage. This usually leads to internal bleeding and obvious bruising(contusions).
Certain conditions cause clotting in the capillaries, most notably the Thrombotic thrombocytopenic purpura.