Strategy I've heard used for DIY homemade high voltage guns is to get a whole shitload of disposable film cameras (can't believe people still do that, but it appears they do)... after they've been disposed, that is (camera stores? no idea), and pull them apart to get to the flash circuitry... generally some nice high capacity caps there. Connect a heap of 'em together to form one big-ass cap and voila, high voltage discharge for coil/rail gun.
Or you could be a non-pussy and make your own compulsator instead of cheaping out on caps.