Perhaps our most popular and dramatic demonstration of capacitance is demo J4-32: Discharging a Capacitor with a Bang. You can see it in action in this video with physics student John Ball.
Energy is stored in the electric field inside the capacitor. When a circuit is completed by placing a conductor across the poles of the capacitor, that energy is quickly released. Unlike a battery, a capacitor stores energy directly in its internal electric field, which can allo0w it to discharge very quickly. In this case, it does so so rapidly that it actually breaks down the air around the electrodes, discharging with a loud bang and flash of light.
You can experiment with capacitance safely, and learn more about the physics underlying their use, in these simulated Capacitor Labs:
At the PhET collection: https://phet.colorado.edu/en/simulation/legacy/capacitor-lab
At oPhysics: https://www.ophysics.com/em5.html