Ok....
Let's go through some basics.
Your transformer has an output voltage and some power rating, let's say 24v AC and 25 VA
In reality, your transformer will only output 24v AC with some significant load on it, and with the optimum input voltage.
* At low low (for example with nothing connected to the transformer), it's typical for transformers to output up to 10-15% higher voltage maybe even more. So, your 24v AC transformer may output 26..27v AC, even more. This is normal and it's important to remember when choosing the capacitor.
* You have to account for variations in AC voltage in your country. If the transformer is a 230v -> 24v AC one, it may designed to output 24v AC at a reasonable load with as little as 225v AC on the input. However, if the AC voltage goes to 220v or even lower, the output of the transformer may be lower, like let's say 23v AC.
So keeping these in mind, it would be smart to treat your 24v AC transformer as a 23v...27v AC transformer.
When you rectify AC to DC using a bridge rectifier, you get a higher DC voltage but less current.
The amount of current can be approximated with the formula: Idc = 0.62 x Iac
The 0.62 is a constant that works fairly well for 20..100VA transformers, maybe even higher. It's not perfect, but it's good enough.
So in our example of a 24v AC transformer with 25VA rating, this means the transformer has an Iac = 25VA / 24v = 1.041 A. Using formula above, the maximum current would be Idc = 0.62 x 1.041 = 0.65A
The peak DC voltage will be equal to : Vdc peak = Vac x sqrt(2) - 2 x Vdiode , where Vdiode is the forward voltage drop on one diode that forms the bridge rectifier.
So again, using our 24v AC transformer example, let's say you use typical bridge rectifier or 4 1n400x diodes, which have a forward voltage drop of ~ 0.8v
Using these numbers, you have the Vdc peak = 1.4142 x 24v - 2 x 0.8v = 32.3v
However, let's go with the absolute minimum of 22v AC (100% load AND <220v AC) and absolute maximums of 28v AC (low load and >230v AC)
22v AC : Vdc peak = 1.4142 x 22 - 2x0.8v = 29.5v
28v AC : Vdc peak = 1.4142 x 28 - 2x0.8v = 38v
This absolute peak of 38v tells you that it's not a good idea to use capacitors rated for 35v, you should use capacitors rated for 50v or higher.
Now you need to add capacitance after the bridge rectifier, in order to smooth out this shaky DC voltage... without capacitance, you have DC voltage, but it's like an 120 Hz AC waveform, only it doesn't go below 0v.
An easy formula to use to approximate how much capacitance to use is this one : C = Idc max / [ 2 x Mains AC Frequency x ( Vdc peak - Vdc minimum) ]
In the case of my 24v AC 25VA transformer, I determined above that it has a maximum Idc of around 0.65A, and that the peak DC voltage will be between 29.5v and 38v depending on conditions, with a typical peak voltage of 32v. You're in Europe where the mains AC frequency is 50 Hz, so knowing this, we have all the numbers to put in the formula above.
Let's say you want the minimum output voltage to be 20v at any time. So, the formula becomes C = 0.65A / [ 2 x 50 Hz x ( 29.5v - 20v) ] = 0.65A / 950 = 6.8421e-4 Farads or 684uF
So a minimum value of 684 uF would kind of guarantee that you'll have 20v at any time on the output, as long as the minimum AC voltage is 22v or higher, and the current doesn't go over 0.65A
At lower currents like let's say 0.1A, the capacitor will discharge less, so the average minimum voltage will be higher than 20v.
Anyway, 684 uF is not a standard value, in this particular example with this fictional transformer, you'd either go with 680uF or 820uF, which are standard values.
You can go with bigger values, but there's downsides: bigger capacitor, more expensive, and bigger capacitors can also trip fuses (when you plug the device in mains, the empty capacitor draws a lot of current as it charges, so the fuse on the primary side could break if the current is too high for long enough time. Also, the bridge rectifier or the diodes in the bridge rectifier can be damaged. It's highly unlikely with a 25VA transformer, but it's important to remember if you're gonna work with bigger transformers in the future.