I can't remember the specifics, but ultimately capacitor sizing comes down to load, and how quickly it charges. I'm hoping somebody more knowledgeable will be along with the more exact details, but I'll give a basic view.

As you know the capacitor has to provide energy during the period between charging cycles. The more load for any given capacitance, the more the capacitor voltage will drop between cycles.
Now if you choose too low a capacitance, you get a high voltage ripple on the output.
Most stepper drives will probably handle this, however by having the capacitor voltage fluctuating too much, you risk overheating the capacitor. As with nearly everything, nothing is 100% efficient, so every time you charge/discharge a capacitor, energy is lost to heat.
This is why large electrolytic caps normally have a vent, so if they do heat up and pressure builds up inside them, they can vent in a safe manner rather than exploding. For completeness, if you look at the end of small electrolytic capacitors, you'll see a scored line, which is a built in weak point, for the same reason.
Another thing is during motor deceleration, a smaller capacitor will not absorb as much energy, so over-voltage becomes a risk.

In terms of a powered circuit, other than cost, there's not really such a thing as too much capacitance, but you will reach a point where extra capacitance won't provide any tangible benefit.
With a large capacitance, you have the issue of start up surges, as a fully discharged capacitor will appear as a dead short at initial power up gradually increasing in resistance until fully charged. The more capacitance, the longer the initial charge will take during power on.
Then you need have to deal with discharging the capacitor after power has been removed. As Jonathan mentioned somewhere already, you could end up with quite a lot of heat being generated by a discharge resistor in order to discharge the capacitor(s) in a reasonable time frame once power is removed.

There are calculations that will work all this out, but it's not something I've done for a while. However I'm sure a google search for capacitor ripple voltage will turn up some detailed results.