I ordered my capacitors from RS:
The ones I used were the axial polypropylene film/foil units (cat # 114-474).
They are made by Arcotronics and are rated at 0.047uF, 1500VDC. I used 4 strings of 15 caps in parallel to give me a 0.012uF, 22500VDC tank cap, which has been performing just fine over the past 12 months when run with my 15kV NSTs.
You'd also want to use bleed resistors across each capacitor (shorting out the two terminals of the entire bank doesn't guarantee that all of the individual capacitors are discharged). When you use bleed resistors, it only takes a fraction of a second after powering down the coil to discharge all the capacitors. Even though I use bleed resistors, I still like to short out the entire bank with a thick wire on the end of a 1/2" PVC pipe a couple of feet long, just to be doubly sure the thing isn't going to zap me :-)
For bleed resistors, you can't use ordinary metal film resistors: they don't have the voltage rating needed, and the HV just flashes over the resistor body. The ones to use are 10 M, 1/2 W metal _glazed_ resistors -- I used RS Cat # 164-8401.
All up, with the individual caps a bit under $2.00 each in bulk, and with the resistors 50c each, plus the odd nuts, bolts, and plastic, my bank cost about $130 from memory. It's definitely worth it though, especially after using saltwater caps :-)