I have the same issue with capitalisation! I do just the first one usually.
Also, the title you use depends how you want people to come to your blog. If you want it to be searchable by search engines, then you need to use keywords in the title, and make it succinct - what you see is what you get kind of thing.
But you may want it to be more interesting, and search engine optimisation isn't the be-all-and-end-all. It depends on the sort of blog too.
Mine is informative, and I want people to know what they're going to read in the post from the title - and I want it to be SEOd - so my titles are boring, straight-foward titles, which suits me, as I'm crappy at coming up with clever titles for anything!
Mine sort of pop into my head somehow! I also use Title Case. I think they can be important but in some ways it just depends on the style of your blog/writing style/use of pictures etc. Above all I think it is important to be yourself - use what comes to you as it is more likely to fit with what you are writing about rather than spending ages trying to think of something different or unusual IYSWIM.
Title Case is also known as American Capitalization and is a format mainly used in the US. I used to do headlines like that, then I realised that most of my blog readers (both of them ) are in the UK and it probably was a bit off putting to them so I stopped and now do 1st letter capitalised only.
With headlines I sometimes have different, more SEO-friendly words in the HTML of the title to the actual title that appears on the screen like this
I use Typepad as I find it more idiot-proof, and I need that. What happens is that the first time you save the post in draft, that saves the main html title - then I can go back in and change the title that appears on the post, but the permalink stays the same (unless I make a point of clicking on it and re-writing that as well). The permalink is written to appeal to search engines and the visible title is written to appeal to human beings.
So the first time I write the headline it will have whatever key words I want in there - for more SEO those keywords should also be in the first para, last para and throughout the text. But you can't do that too much because then it all starts to feel like it's been written by a robot.