Yes, a stylus is an individual thing and it's hard to find the perfect one. Forunately, a capacitive stylus is a capacitive stylus, so when you do find one that works well and feels good, it should work just as well on all capacitive screens (barring devices with poor touchscreen quality).
I bought one of these: http://www.amazon.com/HHI-Chunky-Pen.../dp/B005F7KKXU
... but I hated the way it felt in my hand so I pulled the conductive foam tip off of it and made my own out of parts from a broken metal pen and a few other things, and it works great on both my tablet and my phone.
When I ordered the case for my tablet, it came with a free "capacitive stylus", but it was made entirely of plastic so I'm not exactly sure how they thought that would work. Fortunately, I only needed the case.