For most ceramic capacitors, the smaller you go, the better the resonance frequency, but you also have a worse voltage de-rating curve,
For smd resistors, its all about voltage ratings and power ratings, other than that its just a resistance,
Also as far as making a densly populated board, take a good look at your footprint library compared to the standards, most times the pads will be quite generous, and the silkscreen will be twice the width of the part, so if you bring this in line with the standard you can pack far tighter,
Suppose the other thing is going smaller sometimes means more Via's as you reach a point where the trace cant fit under the part, for me 0603 can fit 2 traces, and 0402 can fit 1, but without going beyond the cheap pcb places you cant fit a trace between a 0201,
If you really want to go compact as possible, read the datasheets to see what the maximum sizes of the package is, bring your silkscreen inline with this, and you will magically find more room than you know what to do with (for all of 3 minutes).
Other thing is, smaller pads lift easier, so be gentle when your soldering them,