@Greg:
Yeah, that's the textbook reason. I'm not interested in a rule I learned in elementary school. I'm wondering why we do such a thing at all.
So basically, you're asking why do we capitalize any letters at all?
Lowercase letters didn't even exist until something like a millenium ago and it was sometime around about seven or eight nine hundred years ago that Europeans began moving towards using both lower and upper case letters in earnest.
So, all European writing utilizing the Latin alphabet used to be in all caps and without punctuation or spacing to boot. This wasn't necessarily a big problem back than; most people weren't literate and those who were likely already knew the material by heart anyway.
So why is capitalization so popular now?
Because Charlesmagne decided to gather various scribes and scholars together to promote education and literacy. Now, the easiest way to spread knowledge is to spread it a form that can be understood by many people.
The Carolingian scholars pondered the best way to work said script into a fashion that people not necessarily familiar with the material already could read. Among other things, they began using capital letters to denote nouns as well as for emphasis and added spacing to sentences.
Many works from antiquity were preserved in this fashion; so many that later printers copied this style of writing. Medieval and Renaissance scholars lionized Roman and Greek works; if they did something a certain way, then that was the right way to do it. Of course, they didn't do it that way, but it's hard to say that
Hwæt! We Gardena in geardagum
peodcyninga prym gefrunon
hu ea aepelingas ellen fremedon
isn't a drastic improvement over
HVVAETVVEGARDENAINGEARDAGVM
PEODCYNINGAPRYMGEFRVNON
HVEAAEPELINGASELLENFREMEDOM
.
So it's just as well that they were misled.
Most of those printers used a Germanic script instead of the Carolingian strip though, which has largely died out today. Had Gutenberg been anything other than German, modern handwriting would look quite a bit different than it would today, though we'd still use capitalization and spacing.
So, the ultimate answer to your question is: it's the French's fault.
But then, so are many other aspects of the English language as well.