When tags were introduced to WordPress, most people expected the tag names to be in lowercase. They weren't, or to be more exact, they weren't forced into lowercase. They use the same format as the category names. It's your choice. There's a problem with this, however, as I'll quickly explain.
Categories and Tags
Since WordPress uses the same tables for categories and tags, if you have a capitalized category name and decide to use it as a tag as well, the tag will be capitalized.
If you change the tag to lowercase, the category will be changed to lowercase. There doesn't seem to be a way around it. There is, but you have to step outside of WordPress itself to do it.
The CSS Solution
Every WordPress theme is different, so in order to make the change I'm going to recommend, you need to edit each page of the theme (that displays tags) and surround the tags with spans (<span> and </span>), kind of like this:
Tags: <span class="lowercase"><?php the_tags(",', '); ?></span>
Of course, your code is probably going to look different. I used the class of "lowercase" to make it easy to remember when I added it to my stylesheet, but you could do it inline as well by replacing class="lowercase" with style="text-transform: lowercase;".
Yes, text-transform: lowercase will do the trick and in the stylesheet, it can look something like this:
.lowercase {
text-transform: lowercase;
}
Which way you do it depends on how much of a CSS purist you are.
More About Text-Transform
Unless you know what you're looking for, you may never come across this property. Here are the three ways to use it (besides "none", the default):
text-transform: capitalize; /* Each word in a text starts with a capital letter. */
text-transform: uppercase; /* Defines only capital letters. */
text-transform: lowercase; /* Defines no capital letters, only lower case letters. */



