There is a wonderful package called inicap by the late Michael J Downes of AMS. It was part of the amsrefs package but is unfortunately not distributed any more. You can download inicap.dtx from the AMS FTP server for obsolete software or you can do a Google search with latex inicap.sty to obtain it.
inicap does not capitalize all the words. Words like "a", "an", "the", "and", etc. are not capitalized; this is in fact the right way to do it. From the Chicago Manual of Style for capitalizing titles of written works in English:
Capitalize each word, including pronouns and subordinate conjunctions, except for articles, coordinate conjunctions, and prepositions, or the word to in infinitives. Always capitalize the first and last word of the title and the first and last word of any subtitles that it may contain. Don’t capitalize the second or later word in a hyphenated compound unless it is a noun or proper adjective, or it has equal force with the first word.
Note that inicap do not change inline math or inserted macros
\inicap{title of my chapter}
will be typeset as
Title of My Chapter
EDIT: To change all chapters you can redefine the chapter command:
\usepackage{inicap}
\let\oldchap=\chapter
\renewcommand\chapter{\secdef\mychap\myschap}
\def\myschap#1{\oldchap*{\inicap{#1}}}
\def\mychap[#1]#2{%
\oldchap[\inicap{#1}]{\inicap{#2}}}