LT1528 adjustable operation
Input capacitor:


  The documentation did not mention whether there should be a small valued capacitor on input 


Actually, hidden in the datasheet, is a hint. On page 6, the transient response graphs include the specific conditions which were used to produce those graphs. Look in the top corners:

[Transient response for a 1A step change in load]


[Transient response for a 2A step change in load]




As you see, the conditions for both graphs include \$C_{IN} = 3.3\;\mu\textrm{F}\$.

Also note that on page 7 it says for pin 5 (\$V_{IN}\$):


  The input pin should be bypassed to ground if the device is more than six inches away from the main input filter capacitor.


Therefore my conclusions from the datasheet are:


an input capacitor is not always required; however...
an input capacitor should be used if this regulator is >6 ins (150mm) from the main input capacitor;
to get the transient response shown on the graphs in the datasheet, you would need to duplicate the test conditions, which include having the given value for \$C_{IN}\$ (and for \$C_{OUT}\$)


Output capacitor:


  nor did it mention what approximate value the output capacitor should be. 


This is addressed on page 9 under "Output Capacitance and Transient Performance" and "Microprocessor Applications". The answer depends on the load current and acceptable transient response for whatever is being powered by the regulator. The minimum value is given in the datasheet:


  The minimum recommended value is 3.3μF with an ESR of 2Ω or less.


Here is one of the examples from the datasheet, which highlights that the value of the output capacitor is dependent on the requirements of the load: