Capital ships are indeed the big battleships, cruisers and carriers. They are a lot rarer than merchant ships, and are not used as escorts under normal circumstances so you rarely run into them. They spend most of their time in guarded ports awaiting their next mission, so you can try and sneak into Scapa Flow or Loch Ewe to sink one if you are feeling brave.
When out at sea they are very difficult targets as they move far faster than merchants and are heavily escorted by destroyers. You are forced to submerge and can't do more than a few knots, where they can do better than 20 knots just cruising along. You need the rare event of running into a task force which then runs right over your nose and gives you enough time to get off a salvo. I have had this happen only once in many, many hours of playing.
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