Hi,
On the output, use a 10µF solid tantalum cap or a 22µF standard wet electrolyte.
On the input, use 10µF to 47µF, considering the power source is a 9V PP3.
However, it is not a very good circuit, since the 9V battery is considered empty at 5.4V and the 7805 need 8V to 8.5V in to provide a stable 5V out, so you'll never get more than a small part of the power in the battery.
A possible solution is to use a low drop regulator, then you can use all of the battery up.
Apart from that, a linear regulator is very wastefull and considering the small capacity of a PP3, I wouldn't bother at all - just power it by AA's or AAA's and forget about the regulator.