I was actually unfamiliar with the keyboard shortcuts Nick shared. I am an old school keyboard shortcut kind of guy and still use the [CTRL]+[K] shortcuts for the most part (go WordStar!), so I use the [CTRL]+[K] + [I] and [CTRL]+[K] + [U] equivalents instead.
Did you know you can use [CTRL]+[K] + [N] to convert the selection to UPPERCASE? and [CTRL]+[K] + [O] to convert it to lowercase?
There may be a non [CTRL]+[K] alternative, but I don’t know it. What would be slick is if there was a “correct case” conversion that would convert it to the case it was declared in. I’ve seen plug-ins that do that though.