Thanks guys for the replies. Do you remember practical projects here on Arduino website or everywhere on the web with cool things which uses (also as side components) capacitors?
The problem is: I do know what a capacitor does. The theory around it. Still I don't see how can I use in my Arduino projects, even if as a side component. Instead I always see lot of usages for eg resistors, buttons, transistors, etc.. Capacitors are still kind of vodoo to me.