Are you using it for guitar? If so you may like the stock setup for the filter caps unless you want huge bass. If you are using it for guitar and want huge bass, and/or are using it for bass and want quicker, tighter bass, then increasing the filter cap size for the first two filter caps is beneficial, and going with discrete caps for all the filter caps instead of going with the stock can cap, and hooking up the first two sections in series, gives you the option of going with any cap value you want and more importantly, gives you higher voltage handling capability, which is necessary for today's wall voltages.
What I did on my 200S, and have recommended to others is to use two 220uf 350v caps connected in series with a 220k 1 watt resistor in parallel with each cap for the first cap section after the rectifier. The second cap section would get two 100uf 350v caps, with the parallel 220 resistors also. This essentially gives you a 110uf 700v cap, and a 50uf 700 cap respectively. The next two cap sections can get a 20uf 500v cap for each as they are normally. This will give the amp quicker and tighter bass, less hum, and better and safer voltage handling. The only qualifier here is that if you do this, you can no longer use the tube rectifier. I've done this in my 200S and several others have done this in their 60 watt Sunns and it works and sounds well. Conrad Sundholm, the co-founder of Sunn has heard my amp and likes what it does for the sound, but this was for a bass guitar application, so as I said, depending on what you want, it may not work as well for guitar and give you too much bass. Personally I don't like the sound of the old Sunn tube amps for guitar myself. You can use a solid state rectifier replacement in place of the tube rectifier, and I've had great luck with the Weber Copper Cap, model WZ34 or even better, model WZ68. You can find them at
www.tedweber.com. If you search you can find more info on this mod....its buried on the site from around 2 years ago, but search for posts by me and you're likely to find it eventually.
Aside from that, replacement of all the carbon comp resistors with metal film would be a good idea. The carbon film ones are probably ok....but if they're drifted, you can replace them with carbon film also. For the coupling caps, the originals aren't particularly good, and any new polyester cap for guitar, or polyester or polypropylene cap for bass would be good. I've used Mallory 150, Sprague Orange Drop 715P, 716P, 225P, Solen, and Antique Electronics generic polyester, all with good results. The stock ones probably still function ok, and you can leave them if you want, but the brown ones especially have low ESR and are similar to the ones so much derided that were used in Silverface Fenders.
Greg