This video talks about the different roles that the various power supply decoupling and filter capacitors serve on a circuit board. While the video doesn't cover how to select the values, it does illustrate and demonstrate why both "bulk" electrolytic caps and high frequency (usually ceramic) caps are used, and why they are placed where they are. There is a lot written about the topic of selecting values - google is your friend. Here is one good example which includes some good general guidelines:
Here is a good extensive paper from Murata:
Nice app note from Maxim:
Really good resource from Texas Instruments: