This video describes the characteristics, features and common application for the most popular different types of capacitors including aluminum electrolytic, tantalum, ceramic (inc NP0/C0G, X7R, Y5V, Z5U), film (inc Polyester/Mylar, Polypropelene, Polycarbonate, etc.), mica and some variable caps. Characteristics such as stability with voltage and temperature, ESR & dissipation factor, dielectric absorption, selfresonant frequency, etc. are all discussed. Notes from this video can be downloaded here:
http://www.qsl.net/w2aew/youtube/capa...

Really good resource from TI:
http://www.ti.com/lit/ml/slyp173/slyp...