I'll try to make it simple.
No capacitor (or any other real-world device) is perfect. Any capacitor will exhibit some resistance (and inductance). So, if you charge a capacitor to a voltage, you'll find that the charge will slowly dissipate because of the capacitor's internal resistance. This characteristic is known as leakage current. High leakage currents are undesirable--they cause internal heating as well as negate some of the capacitance properties. Note that we're talking about a virtual resistor in parallel with the capacitance.
However, there is also a virtual resistor in series with the capacitance. Its value is known as the ESR or "effective series resistance".
When used in power supplies, most capacitors are used to smooth out a small AC current superimposed on a DC current. e.g.:
A filter capacitor, being the beast that it is, will tend to resist changes in voltage, so it settles down to alternating charging on the peaks and discharging on the valleys so that the DC voltage settles out to something between the two. Note that this necessarily involves a flow of current in and out of the capacitor. Remember the ESR? Some of the energy from this current flow will be dissipated in the virtual series resistance. Since power P = I²R, a high ESR is not terribly desirable, as more power will be lost as heat in the capacitor, which will shorten its life. (In fact, heat is probably the single most significant factor in the demise of electrolytic capacitors). Note that ESR has no relationship to actual capacitance; it's just a side-effect of living in the real world.
As far as choosing capacitors, I stick with the Japanese brands. Nichicon, Rubycon, NCC, Panasonic, etc. I've been burned by Chinese capacitors more than once, so I generally steer clear of them.
