how smooth do you want it? the smoother you want the output, the bigger your cap bank needs to be; there comes a point when a battery is the correct answer.
in any case, if you're pedaling constantly with the goal of powering something with a fairly heavy draw (a television, maybe?), or don't care too much about leakage rates, electrolytic capacitors are your best bet.
If you're planning to pedal for 30 seconds and power an LED reading light for the rest of the day, then some form of super capacitor or ultracapacitor is better, but you'll need to pay CLOSE attention to charge rates and maximum voltages.
-Dan