Hi,
I can't tell you the optimal solution, but according to my experience:

- don't use electrolytic capacitors since those might produce current-spike noise
- tantalum capacitors are more expensive but don't show current-spike noise. But
 ESL and ESR are usually higher than in ceramic capacitors. Therefore you probably
 should include(model) ESL/ESR into your loop filter.
- Cermic capacitors are better suited for high frequencies because they are not constructed
 as a coil. However, usually they are not very linear (distortion), but for a PLL loop filter
 I don't think that this is a issue.

Parallel capacitors always work, but that needs space...

I hope this helps.