Hi,
A capacitor basically consists of two sheets of conducting material separated by an insulator. To make a typical capacitor physically small, the insulator may be a thin sheet of plastic (film) and the conductors aluminium foil or even metallised onto the plastic. The capacitor still will have quite a large area so it is then "rolled up" into a cyclindrical shape. The problem with coiling up a conductor is that's also the way you make an inductor! So a relatively large capacitance will have a significant "parasitic" inductance. There are other construction methods such as "ceramic" (typically for low capacitances) and "electrolytic" for high capacitances, but these have various disadvantages such as voltage limitations (including polarity) and poor accuracy, etc.. Even if a capacitor has an ultra low inductance, you may still need to consider the inductance of its leads or of the PCB tracks which connect it.
The problem with the inductance is that it forms a series resonant circuit with the capacitance, which is a high impedance resonance and means the capacitor effectively "vanishes" at that frequency. If the capacitance is large then so may be the inductance and the resonant frequency can be at a frequency which causes "issues" for the circuit, perhaps in the low MHz range. Thus a much smaller capacitor (typically ceramic) is put in parallel with the larger (usually electrolytic) capacitor to take over at the resonant (and higher) frequencies.
Particularly with switching circuits, there's then the potential problem that the smaller capacitor can become parallel resonant with the inductance of the larger. Fortunately, electrolytic capacitors are relatively "lossy" which can help to damp the resonance in the same way as a resistance in a tuned circuit lowers its "Q" (the Quality or sharpness of the resonance). Thus the types of capacitor can be important, not just their values.
Cheers, Alan.