If you've ever accidentally turned on your Caps Lock key and caused some trouble, Threemagination's utility CapSee may be just what you're looking for. It simply displays a bezel notification on your screen when you hit the Caps Lock key, reminding you that Caps Lock is on. It's free, and useful for anyone who might need such a reminder.
Threemagination has just released the latest version of CapSee, which adds the ability to hide the menu icon and make CapSee as unobtrusive as you like.
Personally, I always remap my Caps Lock key to an Option key in my System Preferences (go to the Keyboard pane and look in the lower right for the Modifier Keys button). OS X also provides a small icon in password dialogs that lets you know you've got Caps Lock on. There are, I'm sure, plenty of people who actually use Caps Lock for legitimate purposes, which is where CapSee shines. If you're suffering from Accidental Caps Lock Syndrome, give it a shot.