There are some funds where the dividend yields are pretty much off the charts: http://www.nasdaq.com/dividend-stocks/
How do these funds pay these astronomical dividends? What is the catch that is not obvious?
Look at their dividend history. The chart there is simply reporting the most recent dividend (or a recent time period, in any event).
GF for example: http://www.nasdaq.com/symbol/gf/dividend-history
It's had basically two significant dividends and a bunch of small dividends. Past performance is not indicative of future returns and all that. It might never have a similar dividend again.
What you're basically looking at with that chart is a list of recently well-performing funds - funds who had a good year. They obviously may or may not have such a good year next year.
You also have funds that are dividend-heavy (intended explicitly to return significant dividends). Those may return large dividends, but could still fall in value significantly. Look at ACP for example: it's currently trading near it's 2-year low. You got a nice dividend, but the price dropped quite a bit, so you lost a chunk of that money. (I don't know if ACP is a dividend-heavy fund, but it looks like it might be.)
GF's chart is also indicative of something interesting: it fell off a cliff right after it gave its dividend (at the end of the year). Dropped $4. I think that's because this is a mutual fund priced based on the NAV of its holdings - so it dividended some of those holdings, which dropped the share price (and the NAV of the fund) by that amount. IE, $18 a share, $4 a share dividend, so after that $14 a share. (The rest of the dividends are from stock holdings which pay dividends themselves, if I understand properly). Has a similar drop in Dec 2013. They may simply be trying to keep the price of the fund in the ~$15 a share range; I suspect (but don't know) that some funds have in their charter a requirement to stay in a particular range and dividend excess value.