A.D Moore's book titled Electrostatics is a good place to start. There are also many different types of capacitors, so be ready to learn and keep an open mind. Finally, it's true that capacitors can be dangerous. Large capacitors or banks of capacitors can hold enough charge to do serious physical damage. One of the simplest capacitors you can make takes aluminum foil, a plastic disk, and rubber cement.
Plastic lids tend to work well.
As you experiment you will find that a smaller area of foil produces a capacitor that charges quicker, and a larger area of foil creates a capacitor that takes a longer time to charge but makes a hotter louder spark when it is discharged. Another variable on the type of capacitor descibed above and below is the distance of the spark gap. This drawing represents a red plastic plate with a circle of foil glued on with rubber cement. There is an identical circle glued on the other side. The small triangle represents a piece of foil that is glued to the back circle and folded over to create a small spark gap.