Unwanted property of large electrolytic capacitors?

This phenomenom is called dielectric absorption. It is caused by hysteresis in the response of the polarized molecules in the dielectric to the applied electric field.

As per what ThePhoton says, it is indeed DA. The sources of this effect are many and varied, from electro-chemistry to charge trapping to (as mentioned) hysteresis in polarization.

Just adding this note in here to comment that this effect is not just present in Electrolytics, but also most ceramic capacitors, but with a smaller effect.

If you are doing precision analog design you must choose your capacitors carefully to avoid this effect. Foil based capacitors made with teflon do not exhibit DA.