We can't always afford polypropylene capacitors, much less Teflon (tm), so we often make do with electrolytics when we need those higher values.
There's all sorts of caps out there with claims to being better, and they certainly are more expensive.
My favorite is the Elna silk capacitors, available from Digikey, and really cheap. The measure spectacularly, sound great, and the manufacturer's translated description of why they sound better is a Babelfish classic.
So before you run out and spend a lot on the highly hyped spendy caps, try the Elna silk caps.
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