Tomo, I think he's saying about a capacitor in the FEEDBACK LOOP, not signal path.
And yejun, you're right, it is used purposefully by some people to cut the bandwidth of the amp. It will increase stability (being one of standard methods of compensation) and decrease noise by virtue of reduced bandwidth. It is especially true if you feed it signal that contains high frequency noise, such as EMI/RFI or stuff coming from a digital device such as D/A. I have noticed major improvements in noise floor when I was experimenting with my portable DAC, by adding a 10-20pF capacitor in the feedback loop.
HOWEVER, some people - ppl for example - maintain that doing this hurts the sound quality. And it makes sense, since you're reducing speed of the amplifier. What's the point of using a fast (and expensive) opamp to begin with if you're only going to slow it down? So if you can achieve stability and low noise without adding this capacitor (or keeping its value really low), so much the better.