Two places capitalization comes into play:
(1) on-page use (title, h1, body text, img alt text, etc)
(2) external anchor text
I didn't think it mattered from Google's point of view for on-page usage (is this correct?) but I notice that OpenSiteExplorer' s 'anchor text distribution' tab shows different counts for the same keyword if it's capitalized in different ways (eg seomoz.org is listed separate from SEOmoz.org). Is that just OSE or does Google treat the keyword/phrase different based on its capitalization, too?
And if so, then should I be creating external links to my site with the 'regular' and 'Capitalized' versions of my key phrases?