You can also sandwich foil or metal sheets between plates of glass. This will give a higher working voltage, depending on the methods of connection to the plates, and the manner of insulating the edges.
One interesting way to make a capacitor--though it tends to be a bit leaky (low Q)--is to fill an area on opposite sides of a piece of paper with pencil marks. That is, you heavily color the area with black carbon pencil, forming a conductive area. You can color a connection point out to the edge of the paper and make contact using a paper clip.
A capacitor is essential to the operation of certain high-voltage apparatus such as a Tesla coil. Any description of the construction of one of those will also show the construction of the associated capacitor. (These can be very dangerous, so observe appropriate safety precautions.)
Making high-value capacitors generally involves dielectric material that will usually not be found at home. Making capacitors that withstand high voltage and/or rapid discharge requires appropriate appreciation of the laws of physics regarding voltage and current. A good capacitor can store a dangerous charge for a long time. Be safe.