Capacitors can have a big impact on equipment performance.
My (biased) advice is not to use ceramic capacitors, apart from decoupling. All other non-polarised capacitor types will be OK for frequency compensation on your power supply.
MKS, MKT, polyester metal film capacitors are general purpose capacitors. They have a high temperature rating and are much cheaper than other film or foil capacitors.
PPS, polyphenylene sulphide metalized film capacitors are pretty close to MKP in electrical performance. They are higher temperature and lower cost (used for HiFi applications)
MKP, polypropylene metalized film capacitors are excellent electrically but are lower temperature than MKS and not suitable for surface mount and are expensive (used for audiophile applications)
MFP, polypropylene foil capacitors are superb electrically but are lower temperature (like MKP) and not suitable for surface mount. They are rare and very expensive (used for high end audiophile applications)
Other capacitors: polystyrene, silver mica for example have good low current, high frequency characteristics.
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