Also depends on what you are trying to achieve.
Basically you need to consider the impedance of each capacitor which is related to the frequency of the voltage across it. For a capacitor the impedance is "Z=1/jwC" where w is related to the frequency and C is the capacitance.
For example, you might have a (relatively) large electrolytic capacitor across the supply lines of a circuit to help smooth out supply variations due to varying current draw on the power supply (or whatever). Having a large C means that it will have a small(ish) impedance to lower frequencies but will be relatively ineffective at higher frequencies.
You might also have a (relatively) small capacitor in parallel to it to by-pass high frequency noise that can be induced in the supply from some source. The small C will mean the impedance will be high at lower frequency but will drop as the frequency increases.
Susan