An electrical double layer exists at the interface between an electrode and its surrounding electrolyte. This double layer is formed as ions from the solution "stick to" the surface of the electrode. Charges in the electrode are separated from the charges of these ions. The separation is very small, on the order of tenths of a nm.
Charges separated by an insulator form a capacitor. On a bare metal immersed in an electrolyte, you can estimate that there will be approximately 30 mF of capacitance for every cm2 of electrode area.
The value of the double-layer capacitance depends on many variables including electrode potential, temperature, ionic concentrations, types of ions, oxide layers, electrode roughness, impurity adsorption, etc.