Capacitors are a component used in an electronic circuit that is designed to store current for when it’s needed. In simple terms they are are somewhat similar to a battery that in that they store energy. In electric pianos they are found in many places, from a single one on the bass boost potentiometer on a Fender Rhodes stage, to over two dozen inside the Wurlitzer piano amplifier.
There are several different types of capacitor. See the relevant link for more details:
See Electrolytic Capacitor
See Film Capacitor
See Ceramic Capacitor
Capacitors, especially in amplifiers like the Rhodes Suitcase and Wurlitzer pianos, can remain charged quite a while after the power is off. Always discharge the capacitors before removing or working on them, especially with higher voltages and currents.