For audio applications (as opposed to decoupling) there really aren't any high frequency transients to deal with, so a capacitor with a self-resonant frequency well above the audio range should be sufficient.
An electrolytic capacitor is of course polarized, and only useful if the DC+signal is always unipolar. Also, an electrolytic capacitor has a shorter lifetime than many other types.
A ceramic capacitor in the high capacitance dielectric types will have significant change in capacitance with applied voltage. This can add distortion in audio applications.
A film capacitor isn't very space efficient, but it is reliable, non-polarized and has very good performance in audio applications.
Electrolytic capacitor: it is of course polarized, and only useful if the DC+signal is always unipolar. Also, an electrolytic capacitor has a shorter lifetime than many other types.
Ceramic capacitor: in the high capacitance dielectric types it will have significant change in capacitance with applied voltage. This can add distortion in audio applications.
Film capacitor: it isn't very space efficient, but it is reliable, non-polarized and has very good performance in audio applications.