When you are creating a Web site, you will find yourself creating pages, and adding to those pages other elements such as graphics. Naming these files and linking to them is one of the things that can solve problems for you, or create them. Case is an example.
One of the reasons why this matters is that the Internet is made up of a large number of different machines, with different operating systems, that handle names in different ways. The main difference is between servers running some version of Unix (the majority of Web servers) and those running Microsoft's Windows NT (the scrappy newcomer). These two platforms do very different things with the case of file names. NT doesn't particularly care. As far as it is concerned, Index.html, index.html, and INDEX.HTML are all the same file. In the Unix world, these are three different files, and you could have all three in the same directory, coexisting peacefully. Now, if you knew that you were going to be always working with NT servers, you might think "Great, I don't need to worry!" But in fact you are very likely to be working with Unix servers at some point, and you will definitely need to be concerned.
You might, at this point, think that all you need to do is be consistent and you wouldn't get into trouble. Sadly, experience shows that this is not enough. Under some circumstances, a file that has a single capitalized letter in its name will suddenly turn into a file that has all capital letters. I have not yet worked out all of the factors needed to make this happen, though it seems to involve FTPing file, but it is disconcerting when it happens. You know you uploaded the file, but the link doesn't work, and when you investigate, you see a file with all capital letters in the name. The best way to prevent this is to use all lower case letters in all of your file names. And you will find if you talk to professional code-slingers that this practice is used by the vast majority. Since the pros do it, so should you. It is a good practice.
Adopting standard naming practices is even more help when you work as part of a team. In one project I remember, for an automotive software company, I was working with a designer who used a Macintosh, who fed me images via e-mail, which we uploaded to a Unix server for internal testing, before shipping it to the client, who used NT servers. Since I was the only person on the team with Web experience, we had a lot of problems before I was able to convince everyone to adopt a universal naming convention including all lowercase file names.
One other trick you can use to help out: the better FTP programs will have an option to force all of your files to be lower case. In WS-FTP, for instance, go to Options, Session to set this option.