This book offers a unified framework for the analysis of function spaces associated with non-additive measures. Motivated by questions arising in nonlinear potential theory and super-critical PDEs, it develops the calculus of Choquet integration and studies the structural properties of Lorentz-type spaces defined via general capacities. Particular attention is given to Bessel capacities, including their role in describing fine properties of Sobolev functions and the normability of Choquet integral spaces. Building on this foundation, the second part introduces and characterizes Sobolev multiplier spaces defined through capacities, establishing their preduals and embedding properties. The boundedness of maximal operators is analyzed using tools from nonlinear potential theory, yielding vector-valued estimates in this setting. The monograph is intended for researchers in analysis and PDEs interested in the interplay between capacity theory, function spaces, and operator estimates.