A WebmasterWorld thread discusses the inherent benefits of typing URLs with capital letters. A few thoughts come to mind:

It’s possible that search engines actually put emphasis on capitalized letters, though this is unconfirmed.
It stands out for readers

But there is a big con that you must be aware of, and that’s the fact that there’s a concern about duplicate content on different casing. This is especially true for IIS servers which will return “200 OK” status on all different types of casing. Tedster notes that “One big downside to using mixed case in the filepath is that you can easily get multiple urls indexed that point to the same content, just because of case differences.”

A few people have experimented with capitalized letters (also known as Pascal Casing) and have determined that it helps with Google AdWords through A/B testing.

It may help improve your brand, though, but sometimes you want to make it look like a URL and not a brand name.

It’s an interesting discussion and one that should be read at WebmasterWorld.