Q:

Why do different value capacitors and resistors sound different in same amplifier circuit?

I have two questions...

I have seen that different value capacitors in an amplifier circuit, sound different... For example, an amplifier circuit with a 470uf capacitor, has more bass, and treble... A 1000uf capacitor, has a uniform distribution of frequencies more or less... A 330uf capacitor sounds like it has more focus on the vocals... mid range...

So, what is the real reason for them to sound the way they do? In physics or mechanics or electronics sense...

In an electric guitar and amplifier setup... Introducing a resistor value, between the amp and the guitar, changes the way the guitar sounds... I have tried lots of values, some of them are, 330k, 470k and others in that range... Why does this setup, act like equalizers? The resistor i connect is in the positive terminals, not ground ones...

This seems to work in a cd player to music system too... The resistors become like presets of music equalizers...
I understand we are changing the impedance, but why do they sound so different at different impedances...?
Example Circuit:

A:

The impedance (think of it as resistance) of a capacitor changes with the frequency of the signal passing through.  The lower the frequency (bass sounds) the higher the impedance.  
The impedance of the capacitor also depends on its value.  A capacitor with a higher value will have a lower impedance than a capacitor with a lower value.  For the same frequency, a small valued capacitor represents more resistance than the large value capacitor.
In order to get more bass, you have to use a larger capacitor in series with the speaker.
C1 in your circuit is there to block DC from the amplifier.  At DC, a capacitor is very close to an open circuit - DC  cannot pass.
The change over is gradual, however.  The capacitor doesn't just block DC.  It also impedes the flow of other frequencies.  The lower the frequency, the more it is blocked.
At some point it is no longer noticeable.  For working with filters (the capacitor/speaker combination is a high pass filter,) this point is defined as the point where the amplitude is reduced by half (that's -3dB.)
I'm not going to get into calculating the cutoff of a filter - there's plenty of explanations on the web that go into much more detail than I want to.
For the other side (resistor changes sound,) we have to look at inductors.
The pickups on your guitar are inductors - basically just coils of wire.
Inductors are the opposite of capacitors.  Inductors let DC pass just fine, but their impedance goes up the higher the frequency.  It also goes up as the value of the inductor increases.
You aren't changing the impedance of the inductor (pickup.)
When you change the resistor at the amplifier, you are changing the load on the inductor.
A resistor that is connected across the inductor forms a voltage divider.  How the voltage is divided between the pickup and the resistor depends on the frequency of the signal - the impedance of the inductor changes with frequency which changes how the voltage is split between the inductor and resistor.
The combination of the coil and the resistor forms a low pass filter.  It removes high frequencies.  
The point (frequency) where this begins to be noticeable depends on the resistor loading the coil.  A higher value resistor allows more high frequencies to pass.  Lowering the value of the resistor lowers the frequency at which you can hear a difference.
Another thing that will happen is that the resistor also changes the amplitude of the signal presented to the amplifier.  A higher resistor means less signal getting to the amplifier, which results in a quieter output.
A lower resistance means more signal to the amplifier, which gives a louder output. 
For a guitar player, there is also the interesting possibility of distortion.  You provide so much of an input signal that producing the amplified signal would require more voltage than the power supply of the amplifier.
When that happens, the output voltage will "stick" to the powersupply voltage until the input signal is smaller.
This is known as clipping, and is a bad thing in a general amplifier, but can be a useful thing for a guitar player.

A:

The inductance of an electric guitar pickup resonates with the capacitance of the cable feeding the amplifier. If the impedance of the amplifier is very high (a vacuum tube or FET) then the resonance produces a high frequency peak in the frequency response. If the impedance of the amplifier input is low then the resonance peak is damped so there is a loss of high frequencies. A guitar speaker does not have a tweeter to produce high frequencies so the resonant peak is used instead.
Here is a graph of the height of the peak with different amplifier input impedances: 

A:

Guitars are a bit of a funny source, as the transducer has a high (and generally highly inductive) output impedance. 
What this means is that it is highly sensitive to capacitive loading and it does not take much to put a resonance in the audio band. 
Adding series resistance changes the Q of any such resonances and thus changes the tone.
You would probably find that the additional series resistance makes more difference at the guitar end of the cable then at the amp end (where the cable capacitance cannot be isolated) and that it again makes more difference to a guitar which has its on body volume control cranked (Less shunt resistance so the Q is higher again).
You cannot think of a guitar pickup as being a classical voltage source, they are way too far removed from that for the voltage source in series with a resistor model of an audio source to apply. 
Now as to the electrolytic caps in an amp, it depends very much on which ones we are discussing, the DC block in a feedback network (or on the gain control of an instrumentation style mic amp for example) will make noticeable changes, mainly to the low frequency corner position, while a coupling cap (provided it is large enough to avoid signal voltage being developed across it) is usually fairly non critical. 
I would warn that when working on audio, the ear is a purely crap tool for comparisons, seriously, how you hear things one day to the next (especially once you have been working on things for a few hours) is just so variable. 
You must listen obviously, but understanding what you hear comes from measurement, fortunately this is easier and cheaper then it has ever been, get a decent PC soundcard and some measurement software, job done. 
As to your speaker coupling cap, speakers have a rather variable impedance, and this interacts with the cap to change the frequency response, speakers are generally not pure resistors in reality, so the usual approach is just to make the cap huge so that any interactions are below the audio band, 1000uF is good for most full range things.

