It's a relatively minor thing on the whole. It does need to be very close to the pins it is "protecting", so that it can react and smooth the voltage before minor spikes/dips reach the chip itself. Or emanate from the chip.

0.1uF is the most commonly used value that I remember. Bigger values don't stop shorter (more common) spikes.

But really, this will will all work even without it.

Cheers