There is no fixed view on this one. My personal take is this: if you’re using the Agile Modelling approach, or Agile Unified Process, then these are named frameworks and deserve a capital A. For the wider sense of working in an agile fashion, then no capital required. Agile is just a way for us to value the things that help us deliver software in the most efficient way.
To read the Agile Manifesto head here: agilemanifesto.org/text
To find out how Steer73 can help with your projects, agile or not, head here: steer73.com/services