Depends on what you want to do with them.
Electrolytic caps are usually higher values (in the microfarad to thousands of microfarad range) and are used for low frequency filtering and power supplies. They, however, have a relatively high ESR and are useless at high frequencies, making them worthless for bypass capacitors.
Mylar and ceramic caps are much better as bypass caps, have a much lower ESR and lower leakage, but are only available in the picofarad to fractions of a microfarad range.
Which capacitor you use depends on what you need to do... there is no one "universal" type.