capacitor

There are many kinds of capacitors and several popular ones are pictured here. Generally, capacitors have two leads. Some are axial leaded, like resistors, and others are radial leaded, with both leads at one end. Stompbox layouts seem to use radial leaded capacitors most often, but axial leaded are just as good. Unlike resistors, some capacitors are polarized, with positive and negative leads: the voltage across such capacitors must agree with the polarity of the leads. Take care to orient polarized capacitors correctly in a circuit.
Generally, polarized capacitors have lead markings on the casing, like a colored band of minus (negative) signs. The radial electrolytic capacitor pictured above has a black casing with a gray band and you can just see one minus sign. Note also that the negative lead is shorter than the positive lead. On axial electrolytic capacitors, arrows often point toward the negative lead. The blue capacitor shown here is an example. When the arrows are not present, note that the aluminum can (housing) shows on the negative end while the positive end has a (black) seal insulated from the housing. Often, the indentation or groove around one end of the casing is on the positive end. You can also see some of these features on the blue capacitor below.
The other capacitors pictured are mylar film (the brown and green ones above), box film (yellow), and ceramic disc (light brown).
There are many types of capacitors because there are many ways to make them and each has its advantages. There are accompanying disadvantages of course. For stompboxes, important considerations are size and effects on an audio signal. There is a lot of discussion about the latter, with many different views. I offer my interpretation of good advice for beginners below under Values.
Symbols
There are also a variety of schematic symbols for capacitors. Two popular symbols are shown here, one for non-polarized and one fdor polarized capacitors. Often, the non-polarized symbol is made into a polarized symbol by adding a plus sign to show polarity. The polarized symbol shown here does not always have its polarity marked, but the curved side is always the negative lead. There is a nice table of other capacitor schematic symbols on the Capacitor page of Wikipedia.
Capacitors are labelled with the capital letter C and a number, like C2. In the Fuzz Face schematic described in Eagle 1: Description, C1 is a polarized capacitor with its positive lead on the input. C2 is another polarized capacitor, positive lead going to ground. C3 is non-polarized. This circuit has a positive ground (note that the voltage supply has a negative symbol) and this explains the orientation of the polarized capacitors. In a negative ground circuit, they would be reversed.
The layout symbols for capacitors are ovals, boxes, circles, and the schematic symbol.