Grumpy_Mike:
(but what about their capacity? electrolytic or ceramic
Not sure what you mean? Use 47uF for the large capacitors.
I think here says that a RC(resistor capacitor) filter can make the PWM wotk fine, right ?
No. That is not suitable for a motor. It produces a varying DC voltage, that is not the way to drive a motor and have good speed control.
Read about PWM here:-
http://www.thebox.myzen.co.uk/Tutorial/PWM.html
For a motor you must apply it directly to the motor.
Read this on motors:-
http://www.thebox.myzen.co.uk/Workshop/Motors_1.htmlFor the motor Pi filter read this, it is the last schematic on the page:-
http://www.thebox.myzen.co.uk/Tutorial/De-coupling.html
Mike thanks again, your help is so important !!! 
--Each module(Bluetooth,Distance sensor,LCD) as you said should have a 47uf capacitor ,right? Should it be Electrolytic or ceramic? or it doesn't matter?
--I am familiar with the way PWM works, i saw the schematic you told me and i think it doesn't worth trying to add 4 capacitors and an inductor to each of the four DC motors i use... Otherwise, is there anything else i can do ? Really, PWM ,in practice,wont work at all if i just add a ceramic capacitor to each motor?