Users sometimes ask if and how you can change the formatting of the caption in a captioned image.
The answer is you cannot, if you confine yourself to the initial result you’ll get in the Visual or the HTML editor, because what you get when you insert a captioned image is a shortcode: a pre-configured formula you cannot alter (highlighting the caption and trying to change it via any of the editor tools will only mess the image up on your actual blog post, and then the only thing you can do is delete the image and re-insert it).
But you can change their formatting, if you replace that shortcode with the actual sourcecode of the image.
When you insert a captioned image, its shortcode in the HTML editor will look like this:
Visit the actual blog post, select View Source in the View menu of your browser, locate and copy the image code.[***] It will look like this:
If you paste this into the HTML editor in place of the original shortcode, it will give you the exact same result. But now you can modify the caption by adding style properties and values to the p tag that encloses the caption. Example:
Code of this particular modified version:
For various style properties and values, see my posts on formatting text etc.
If you buy the Custom Design upgrade and have experience in CSS editing, then of course you can change the formatting of captions once for all.
[***] Update: See the post Image captions with no dash in Twenty Eleven for an alternative method you can use directly instead of having to publish then dig into the sourcecode then go back and edit.