Caps work depending on what you want to fix. You can't use a screwdriver to use a nail, and you can't use a hammer to put in a screw. Different tools for different jobs.
The problem with a cap is not only that its fairly lossy, it also will charge and discharge more. Think of it this way, say you have no cap and your amp pulls enough Power to drop you down to 12V from 14.4V, Your lights will dim but after the bass hit its over. If you have a cap, you may only drop to 12.2V or something, but then after the hit the electrical system must recharge the cap up to 14.4V, causing extra strain. Now imagine you're doing this on a weakened alternator that is already too small to Power your system. The extra strain of having to charge and recharge the cap, as well as power everything will cause your alternator to die a premature death.
Capacitors can be made in different ways, many of the "super caps" are constructed in a different way than your normal caps. The normal caps you see are basically scaled up versions of the ones you would find inside your amps, they're considered to be better for signal transmission, and easier and cheaper to make. Things like the BatCap and the Soundsstream and other big caps are constructed in a different way that allows them to hold more energy.