From Joe Celko's "SQL Programming Style" (ISBN 978-0120887972):
Rule:
Uppercase the Reserved Words.
Rationale:
Uppercase words are seen as a unit,
rather than being read as a series of
syllables or letters. The eye is drawn
to them, and they act to announce a
statement or clause. That is why
headlines and warning signs work.
Typographers use the term bouma for
the shape of a word. The term appears
in paul Saenger's book (1975). Imagine
each letter on a rectangular card that
just fits it, so that you see the
ascenders, descenders, and baseline
letters as various "Lego blocks" that
are snapped together to make a word.
The bouma of an uppercase word is
always a simple, dense rectangle, and
it is easy to pick out of a field of
lowercase words.
What I find compelling is that this is the only book about SQL heuristics, written by a well-known author of SQL works. So is this the absolute truth? Who knows. It sounds reasonable enough and I can at least point out the rule to a team member and tell them to follow it (and if they want to blame anyone I give them Celko's email address :)