Depends on what kind of caps you're looking for. If you're looking for non-polarized caps like you'll find in crossover networks or used as coupling caps in tube amps, the best selection I've ever seen, from hobby grade to seriously hoyty-toyty audiophile grade can be found at Parts Express. They have a pretty good selection of other components as well, but not like Digi-Key / Mouser.
If you know what you want, I think DigiKey's web interface is really good. You can't do much better when you have millions of different part numbers for sale, IMO. It's tricky when you know sort of what you want but need to make a choice based on some criteria you can't filter for, or some kind of design decision. That's when the paper catalogue is nice to have around.