Upper or lower case in figures? Is there any rule concerning the use of lower/upper case letters in figures, charts, diagrams etc. to be used in scientific papers?

I tend to use lower case only (e.g., axis labels and legends), but a reviewer recently suggested that I should start each word with a capital letter.

I would be very thankful for any advice!
There are no absolute rules, but I think the most natural policy is to use title capitalization for major labels (plot title, axis identification, elements in the legend).  You may then reserve lower case names for additional minor labeling (like specific, localized features in a figure), although it would not hurt to use title capitalization for everything.  Don't use all caps; it looks like you are shouting.