Based on your comment about a bridge rectifier, I’m assuming you’re talking about AC to DC conversion.
what is the best way to filter the output power?
This depends on the application and requirements. There’s usually a trade off between physical space, efficiency, and output ripple. The type of load may affect how much capacitance you can have on the output as well.
Is it possible to use typical capacitance multiplier circuit with a power BJT or MosFET?
Not only is this possible but it’s fairly common for low noise applications. It’s more common to use a dual capacitance multiplier however which allows you to control the capacitance without relying heavily on the gain of the transistor which is device dependent.
or should I use normal high capacitance capacitors in parallel?
This depends on your requirements
What are the benefits and use case for either of these? And why should I choose one over the other?
The capacitance multiplier is typically used in very low noise situations where the amount of capacitance needed is impractical to accomplish directly. Some reasons not to use it however are
If you don’t need really low noise, you may end up using more space with a capacitance multiplier than just using parallel capacitors.
The transistors are going to dissipate some of the power, so you will lose efficiency.
The capacitance multiplier is more complicated which introduces some risk that may be unnecessary if you can meet your requirements with just capacitors.