JoshD:
+1 for ebay. Something like this would be a good start:1000 caps and 50 different values for $6. There's lots of different cap assortments available. Don't go too crazy, as caps are so cheap that (to me) it's easier to just add whatever caps you need the order when buying other parts for a project. Having an assortment on hand to "try things out" is good, though.
Just what I needed, 20 1pf caps, never going to run out of that popular value ever again. 
Lefty