Power supply design pattern with various capacitors
stevenh already said it pretty good, but most likely they are decoupling capacitors.

Decoupling capacitors, or bypass capacitors, are capacitors meant to smooth power flow into specific parts of the circuit or into specific ICs.  Changing power demands will create a "sag" on the power supply as it changes to meet output current demands.  This pulls down the voltage. These capacitors will act as "local storage" to the load during a transient event that effectively masks the sag on the power supply to the load being bypassed/decoupled.

In a very dumb downed way, think of it like a pipe.  One end is your power supply, and the other end is your load.  The power supply adjusts itself to supply what the load is demanding.  If the load changes, it might temporarily take enough water (power) out of the pipe to the point where the pipe isn't entirely full.  The pipe not being full is the equivalent of your voltage sagging.  This is what happens all the time on a power supply... load changes, and the voltage sags slightly as the power supply tries to supply enough current to meet demands... then eventually the voltage comes back up once the power supply has changed its output current to meet demands.

Now, a decoupling capacitor is like adding a big tank on top of the pipe.  When the pipe is full... the capacitor can't empty any of its water out.  However, when the load gets big enough and the power supply can't supply it quick enough... the tank lets some of its water out to keep the pipe full until the power supply can supply the given current.

As far as why they are different values, different parts of the circuit will require different amounts of power.  Usually you'll see big caps (in the tens of microfarads, in this case, those big 100uF ones) near the power supply output itself... I usually see this referred to as "bulk"... this is for really big transients that pull a lot of power.  Smaller values are for things with smaller current draws.  

There's also some math behind the capacitance, I believe, in regards to how fast the capacitor can give up its energy for a transient event.  Smaller capacitance being better for high-frequency transients, etc.