I second Josh: if I lazily entered my name, it can even feel more intimate to have it left as-is.
Moreover, if this is lead-entered data, they know best how to spell their name. You probably won't go wrong by capitalizing the first name (ignoring for the moment for the fact that the "first' name presented is the family name in some cultures). But you can't just go capitalizing last names like "van Helsing" or "de la Fuente"! Then you just seem culturally ignorant. A data cleaning system can apply intelligence to this process, but it is not guaranteed.