You can do two main things under your iPhone's Keyboard settings: you can turn your iPhone's Auto-capitalization on or off and turn Enable Caps Lock on or off.
Auto-capitalization, which the iPhone turns on by default, means that the first letter of the first word you type after ending a previous sentence with a period, question mark, or exclamation point will be capitalized.
If Caps Lock is enabled, all letters will be uppercase LIKE THIS if you double-tap the shift key. The shift key is the one with the arrow pointing north.