Oh noes, it's mojo parts!!
Well...eh...I'm a strange one in this area. Do I believe that parts choice will really make an difference? Mostly...no. unless we're talking about something where the capacitor is being used in a filtering circuit: certain ceramic caps can have wide fluctuations in value depending on temperature. It's the sort of thing where something might sound great at home in a climate controlled room...but go onstage with the sun beating down on your pedalboard and it could be a whole different thing.
Do I obsessively choose components based on what I think will perform best in the application, even if said performance isn't actually improved and I'm just being neurotic? Also, yes.
Generally speaking: resistors aren't going to make much of a difference. Cheap, expensive, resistors are easy to manufacture and their noise characteristics are so negligible with both metal and carbon film that it's doubtful that you'll be able to notice a difference between them that isn't based on value.
Capacitors can be different. It all depends on the dielectric, or the insulating material between the capacitor's plates. This has a big impact on the size of the capacitor, as well as it's characteristics.
The hierarchy kinda goes like this:
Teflon- fantastic. Also, super fucking expensive. Best saved for critical values subjected to harsh environments and high temperatures. Overkill for pedals.
Polystyrene: about as good as one can hope to put in a pedal. Tend to be large as value increases, easily damaged by heat, best saved for spots where you really need a cap with low dielectric absorption and precise value.
Polypropylene: lower dielectric constant makes these larger than poly/mylar/etc. They're a step below styrene in terms of dielectric absorption from what I've read, but are still quite good. Generally, you can get anything up to 22-47nf or so in similar packages to polyester, but larger values take up a lot of space.
Polycarbonate and PPS: PPS has been taking the place of polycarbonate in recent decades. Polycarbonate was used often for its high temperature stability. Higher dielectric constant than polypro, you can get up to a 100nf value in these in a fairly small package.
C0G: also known as NP0. MLCCs with very tight temperature coefficients. Physically larger than the same MLCCs in something like an X7R, but still quite compact. Great choice for values where a polypro would be too large. They get expensive at larger values though.
Polyester: the workhorse of pedals. Most builders don't really go beyond these, because they work well enough for our purposes. They're small, cheap, and reasonably good at what they do. Personally, I stay away from them, because I enjoy the feeling of superiority I get when I look at folks with disgust for using perfectly serviceable capacitors.
X7R: good MLCCs for power filtration duty. In fact, they're superior to C0G when used in high speed circuits as SMD bypass caps due to their small footprint, where parasitic inductance is a concern. Which is to say: in circumstances that don't tend to be present in the pedals we build. You can get these in quite small packages for the values. Small size in microfarad values? Yup. It's possible.
Everything has its pros and cons. Expense, footprint, characteristics. And that doesn't even get into electrolytics, tantalums, mica, and polymers.
Also, keep in mind, im bluffing my way through this write-up and I know very little about the ins and outs about how these actually behave in circuits aside from some buzz words that I only tangentially know the meanings of. See my bit on polyester caps.