For capacitor ratings all you would need to concern yourself with is the voltage rating which will be listed with the component, so if the maximum voltage you are going to operating at is 5V say, then you'll need to get a capacitor that can handle more than this.
Here is an example of a thru-hole components marking:
With resistors you'll have to look out for the power rating.
Power = I \times V
And you can easily work these values out with Ohm's Law:
V = I \times R
With these two equations you only need to know two of the values (which you will, likely the voltage will be known - if not, use a maximum so as not to fall short, and the resistance needed or maximum current will be known making it easy to get the power rating)
You can find a lot of information about the ratings of different packaged resistors on the web, if you're using surface mount that package name hold a bit of information on it, as to thru-hole components, I'm not so sure but you'll easily be able to find out when purchasing the components. It will also be easy to find out if you have a part number for the resistors you are using.
Diodes will tell you on the datasheet what their maximum current ratings are, both continuous and pulsed currents so you don't fry these components. Always check the datasheet for information like this as they are really useful and you can quite easily determine if they are the component for you - so long as you know what to look for!