I generally agree with GL^, but as he said, opinions vary.
For cap values above 1uf, you'll almost always use an aluminum electrolyic. Sometimes the schematic may call for a tantalum electrolytic or a non-polar cap.
For non-polar values under 1uf, you have a selection of ceramic and "poly" (polystyrene, polypropylene, etc.) (there are electrolytics <1uf, so follow the schematic). I try to use poly caps for caps that are in the signal chain. Ceramics can sound harsh and they can be microphonic. When the values get low, ceramics are often the only choice.
For most pedals, there will not be a noticeable sound between polystyrene and polypropylene, so go for what's available.
Two other factors that affect cap selection are voltage ratings and physical size. I try to choose caps that have a voltage rating of 1.5 to 2 x the voltage they will see. It won't hurt to have a higher rating than necessary. Of course, the cap has to fit on the PCB.
