It depends on your audience and how the ad is written.
For many audiences, the all/multiple caps approach works well (I've heard that some of these sound 'amateurish'. However, I'd rather have ROI & CTR than worry about someone else's opinion). Also, in many worlds you can use bold, italic, or color to highlight a word - that option isn't available in PPC. Therefore you have to use what you can to emphasize your ad/keywords.
However, personal preference is to test 3 scenarios:
1. Capitalizing only the words you want to emphasize.
2. Capitalizing every word.
3. Make it read like a sentence.
Compare these ads:
Test drive the New Widgets.
Located in downtown Chicago.
Test Drive the New Widgets
Located in Downtown Chicago.
Test drive the new Widgets
in downtown Chicago today!
Each person reading this post has a different opinion over which is the 'best' of the above ads. However, each one is trying to accomplish something different.
Ad 1 is only highlighting the new product and the locale. So those words are capitalized to bring emphasis to the words within the ad.
Ad 2 is trying to bring attention to the entire ad by using a lot of Capitols, but is not highlighting anything specific.
Ad 3 read like a sentence (and depending if your in the 'premium position' will look much different than if it's on the side due to the sentence structure), and is more of a 'proper' advertisement.
Depending on the audience and position, anyone of those ads formats might be best for your product. Don't let personal preference get in the way of actual numbers (unless you're part of a 'branding campaign', and have certain regulations set forth by a company).
Test. Test. Test.
Let the numbers dictate your next move.
More about split testing here: