The unit of capacitance is the farad, defined as the amount of coulombs charge per volt; a coulomb is a quantity of electrons and 1 coulomb is equal to a flow of electrons that produces 1 ampere in 1 second. Now that you know this, you can do your best to forget it!
A farad of capacitance is a lot of capacitance. In high voltage, we generally deal in microfarads (mfd.) or picofarads (pf) which are one millionth of a farad and one millionth of 1 millionth of a farad, respectively. Infrequently used, a nanofarad is one thousandth of a microfarad.
In some ways, a capacitor has not changed much in over 200 years, since the first capacitors - Leyden jars. Simply, they were glass jars with a wrap of copper inside and outside: 2 conductors separated by a dielectric (non-conducting) material. Some hobbyists - Tesla Coil builders, particularly - still use this technique to build a cheap capacitor from old bottles and household aluminium foil.
Now, of course, there are ceramic capacitors, mica caps, tantalum wet slug, aluminium electrolytic, paper and/or plastic film capacitors and even (still!) glass dielectric capacitors.
Many modern capacitors use plastic, rather than paper or mica, as the dielectric in a high voltage capacitor. And, while there have continuous improvements in the quality and variety of films available, many capacitors are made the same way that that they were over 40 years ago.
The initial stage of manufacturing a film capacitor is to start with plastic film, or paper and film, and roll it up with thin aluminium or copper foil. As the film may contain microscopic flaws (and the paper always does), multiple layers of thin film is required rather than 1 layer of a thicker film. This is necessary with high voltage and up to 7 layers of dielectric may be used at one time.
There are 2 basic, different ways of winding this type of capacitor, known as "insert tab" and "extended foil".
Insert Tab Winding
With the "insert tab" type of winding, a small, tinned copper tab is laid into the winding at a pre-determined number of turns, one or more on each of the foils; the foils are wound directly over each other, separated by the film, and the film is wider than the foil, to permit an "edge space" appropriate to the voltage rating.
Extended Foil Winding
The "extended foil" type is wound similarly, but the foils are offset, so that 1 foil protrudes from 1 edge of the section, the other foil from the opposite edge. Ultimately, the ends will be soldered over. This provides much lower self inductance in the capacitor and enables it to discharge huge peak currents - even over 100,000 amperes! Such currents are common in radar systems and can occur in fault situations in almost anything that can short out an unprotected capacitor, accidentally. Note that current is also limited by internal wiring!
Capacitors in Action
Capacitors connected in series or parallel produce the opposite result of resistors in series or parallel. For instance, 3 capacitors, each 1 mfd, in series will result in a series capacitance of 0.333 mfd; 3 caps in parallel will produce a 3 mfd bank. Resistors, such as a group of 3 pieces at 1 ohm each, will produce 3 ohms resistance in series, 0.333 ohms when connected in parallel.
By "stacking" or "banking" multiple sections in series, of, say, 5 KVDC each, we can achieve very high voltage in a single case. A common production item uses 16 series sections for an overall working voltage of 80 KVDC. Probably the most series that has been regularly used was 96. This was to achieve a working voltage of 125,000 VAC, 60 Hz. These are used in ultra-high voltage circuit breakers. They have been subjected to a 496,000 volt impulse and they did not break down. Here, we see a difference between AC and DC voltage rating: If this had been for DC use, we could have rated the part at 300,000 volts, continuous duty.
Fluids in Capacitors
Most high voltage capacitors are filled with some kind of fluid, to suppress corona (partial discharge) and to act an additional insulating medium. Much could be said about oils. Especially the highly dangerous polychlorinated bi-phenyl (PCB). Before ordering a capacitor, ask for a Material Safety Data Sheet on the fluid, to see how harmful it could be. Some fluids in present use in capacitors are toxic and/or contain known carcinogens. Don't buy something that may have expensive disposal problems, 5 years down the road.