In general:-
Big values you can only get as electrolytic.
Decoupling (across the supply) Ceramic for values 0.1uF and lower and electrolytic (aluminum) for values above. You could use tantalum here but they are expensive and a fire hazard.
Audio coupling - polyester, polystyrene
High stability / high frequency - Silver Mica (these are only available in small values anyway and have a negative temperature coefficient)
ESR is only important for electrolytics switching a lot of current.