Why do we use two parallel capacitors in a voltage regulator circuit?
Take a look at this graph: -

http://electronicdesign.com/files/29/1478/figure_01.gif

Capacitors have a resonant frequency due to the inherent small series inductance they have. The "generalized" capacitor showing the various parasitic components is shown below: -



It's the L\$_{ESL}\$ that causes this series resonance.

For a typical 10 uF tantalum capacitor this might occur at about 1 MHz. A 1000 uF electrolytic will basically look like an inductor above several tens of kHz: -



Notice that the 100 nF (MLCC) ceramic is good as a capacitor all the way to over 10 MHz therefore, putting two caps together gives you the best of both worlds. For a 7805 this might not make much difference but on different types of regulators not having the 100 nF could turn a power supply into a power oscillator.