Capacitor type depends on environment and regulator usage. If the regulator you will be using has relatively high output current, you want a larger value capacitor for load regulation. For temperature, tantalums are excellent for their temp range, holding up well for automotive temps, say -40C to +125C. They also exhibit lower ESR for larger values, where the ESR is, roughly, directly inversely proportional to its value. So, a 4.7uF tant has an ESR of about 1ohm, then a 47uF tant has an ESR of about 0.1ohm.
Ceramics are definitely cheap. Very good for filtering.
Electrolytics are good for load regulation as well. They aren't as good for temp range. They freeze out.