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If you are talking about polarity then yes there is a right and a wrong way to hook them up.
A "bipolar" cap means that you can use either lead to go to the more negative and positive voltages (ie. hook it up in either direction), so you can't really go wrong unless you select a cap with a voltage rating too low for your particular application.
A "polar" cap like an electrolitic usually has the negative lead marked with a "-". Therefore the other lead is obviously the positive one. The postive lead must go to the more positive voltage and the negative to the more negative voltage, otherwise you can destroy your capacitor. What happens is if you hook it up the wrong way it can zap the capacitor's dielectric and it will esentially just become a low level resistor. ie. a throw away job.
Remember to select a cap that has a voltage rating that is higher than the actual voltage across its leads in the circuit. Otherwise again the dielectric will break down.
You obviously sound like a beginner (I'm still learning too ) so I suggest you run out and purchase the brilliant book "Practical Electronics for Inventors" by Paul Scherz. It has all of this info and EVERYTHING you need to get started in electronics.
Just to add a few more points,
A capacitor added in series is basically a blocking capacitor, and one added in parallel to a ckt is for filtering, but the list does not end here.
Although in Polar capacitors the polarity has to be taken care of, (You dont have to worry as they are properly marked for polarity) I have come acroos ckts whereby even polar capacitors have been made use of in inverse polarity mode.
And again the voltage rating of a capacitor is very important and should never be exceeded, else you are going to experience a nasty blast ( It happened with me).
And yes, try opening up a electrolytic capacitor by breaking up its aluminium covering. ( Be damn sure to dischare the capacitor completely before breaking it) and wash your hands after you have opened up the inner contents of an electrolytic capacitor. Your concepts of construction of a capacitor shall be cleared.
Yes, a capacitor in series blocks DC and only passes AC. A cap in parallel will let DC through to the rest of the circuit and pass the AC through to ground (if it is connected to ground).
Check out high pass and low pass filters for a good understanding of this concept.
You really need to understand how capacitors are constructed and how they work to understand how they work in a circuit. ie. how a cap's plates can store charge and pass AC etc. The conept of "charge" itself. Some people may disagree with me on this point but I think it will save you confusion in the long run.
yes space would make a difference, as to voltage, i believe none, i dont know in your place if there is a price difference between a 25v and a 63v cap. here in my place there is a big price difference.