It appears that because of the way searches are indexed alphabetically, there is a slight advantage to using ALL CAPS in your page titles. We hate to give up any possible edge, so we use ALL CAPS page titles in our doorway pages. Your mileage may vary – we don’t like all caps for normal pages, because it’s harder to read, and you don’t want your visitors to have to deal with all caps for their bookmarks and shortcuts.
Don’t ever lose sight of the fact that search engines index web pages, not whole web sites. You have a list of keywords that you want your site to rank high on, but don’t fall into the trap of thinking that every page has to rank high on every keyword on the list. For each page, you should have a single keyword or phrase that you’re trying to maximize, and that should be promoted throughout the page, from the title, to the META tags, to the content itself. With enough pages of quality content, your site will afford you plenty of opportunities to place highly-relevant pages for all of the keywords on your list.