In electrolytic capacitors the two conductors are different materials. One is just a piece of metal - usually aluminum - and the other is a liquid electrolyte. When a voltage is applied between them a layer of oxide forms on the metal. This layer acts as the dielectric insulator and is extremely thin (measured in molecules instead of millimeters. The extreme thinness is the reason that electrolytics have capacities so much higher than other types.
New capacitors don't have the layer of oxide: it's formed the first time the capacitor is charged. If it's done too quickly the layer won't form properly and you'll end up with a weak capacitor. I always bring them up to full voltage very slowly - over a period of about two hours. I've heard of some people taking six or more hours. I have no idea how long it really takes to form the layer properly, but I'm quite certain that just plugging them in isn't long enough. Gerald Weber (_A_Desktop_Reference_To_Vintage_Guitar_Amps_) suggest wiring a 100 watt light bulb in series with the amp (between the wall plug and the amp). When you plug everything in the bulb reduces the current to the amp. This is surely better than just plugging in, but I don't know if it's good enough. What worries me about this method is that the current is still very how at the moment that power is applied. This is exactly when you want to go slow.
http://www.harpamps.com/micKcaps/For...apacitors.html