It behaves like a frequency-dependent resistor, dissipating energy mainly at high frequencies. For a given value and voltage, the larger the capacitor, the better it will work. They work best at frequencies above 100 Hz. For operation in the MHz range, use surface mount parts for the lowest inductance. NP0 is available up to about 0.1uF, but at that value it's expensive and large.
Film capacitors are the best for DC work.
They have much higher temperature coefficients than NP0, and usually don't work as well at high frequencies as ceramic. Cheap film capacitors, glass, and mica all can have excessive dielectric absorption. High-K ceramic and electrolytic capacitors vary with time, frequency, temperature, and voltage. They have terrible soakage. They are important for decoupling, however, which they do especially well in surface mount packages.