The RFC for HTTP (as cited above) dictates that the headers are case-insensitive, however you will find that with certain browsers (I'm looking at you, IE) that capitalizing each of the words tends to be best:
Location: http://stackoverflow.comContent-Type: text/plain
vs
location: http://stackoverflow.comcontent-type: text/plain
This isn't "HTTP" standard, but just another one of the browser quirks, we as developers, have to think about.