Movie titles typically use what is called Title Case for their names. This is a very common practice in the US for anything with a title (books, articles, headlines, movies, ... ).
Each production house has its own variation on which words to capitalize, but they are usually pretty standard with minor deviations. According to grammer.About.com:
Capitalize the first and last words of the title and all nouns, pronouns, adjectives, verbs, adverbs, and subordinating conjunctions (if, because, as, that, and so on): "Rules for Capitalizing the Words in a Title."
It's the little words that style guides disagree on. The Chicago Manual of Style, for instance, notes that "articles (a, an, the), coordinating conjunctions (and, but, or, for, nor), and prepositions, regardless of length, are lowercased unless they are the first or last word of the title."
But The Associated Press Stylebook is fussier:
Capitalize the principal words, including prepositions and conjunctions of four or more letters.
Capitalize an article--the, a, an--or words of fewer than four letters if it is the first or last word in a title.
Other guides say that prepositions and conjunctions of fewer than five letters should be in lowercase--except at the beginning or end of a title. (For additional guidelines, see the glossary entry for title case.)
So pick a form--any form. And then try to be consistent.