Capacitor selection criteria

Dear All Members,

I am struggling with capacitor selection for any application.
I am confused about which capacitor should be selected where depending upon its type ie. ceramic , electrolytic , tantalum , etc & which range of values are available in which types .
What specification should be considered ?

Is there any selection criteria. Please suggest me some links or PDF.

Thank You

Dave Jones from the EEVBlog has 2 videos that will get you up to speed. (part 1 and 2)

http://www.youtube.com/watch?v=xlvqUts9H9c