NOAA / NWS advisories tend to have a lot of proper names. It looks really wacky if you just lower-case them (and it's non-trivial to convert them to proper capitalization automatically.)

(I tried to do this back in about 1999. I don't think it's gotten much easier, although having geo APIs might help somewhat.)

Also, apparently there's some international standards around this kind of info that require it to be upper case: http://www.motherjones.com/kevin-drum/2012/10/blame-united-n...