How does SelectKBest work?
The SelectKBest class just scores the features using a function (in this case f_classif but could be others) and then "removes all but the k highest scoring features". http://scikit-learn.org/stable/modules/generated/sklearn.feature_selection.SelectKBest.html#sklearn.feature_selection.SelectKBest

So its kind of a wrapper, the important thing here is the function you use to score the features.

For other feature selection techniques in sklearn read: http://scikit-learn.org/stable/modules/feature_selection.html

And yes, f_classif and chi2 are independent of the predictive method you use.