Caption on the side of a figure

Here is a direct and robust method:

\begin{figure}
  \begin{minipage}[c]{0.67\textwidth}
    \includegraphics[width=\textwidth]{2011-03-03}
  \end{minipage}\hfill
  \begin{minipage}[c]{0.3\textwidth}
    \caption{
       Температура перехода в ионизованное состояние
       атомарного водорода в зависимости от плотности газа.
    } \label{fig:03-03}
  \end{minipage}
\end{figure}

Perhaps, this way is less smart compared to packages sidecap and floatrow mentioned in other answers, but I use it for many years because of its simplicity. Widths of images and captions are fully controllable through arguments of minipage environment (parbox also works) and \includegraphics. Vertical alignment is controlled through optional argumants [c], [t] or [b] of minipage`.

You can use the \floatbox and \capbeside commands provided by the floatrow package:

\documentclass{article}
\usepackage[demo]{graphicx}
\usepackage{floatrow}

\begin{document}

\begin{figure}
\floatbox[{\capbeside\thisfloatsetup{capbesideposition={left,top},capbesidewidth=4cm}}]{figure}[\FBwidth]
{\caption{A test figure with its caption side by side}\label{fig:test}}
{\includegraphics[width=5cm]{name}}
\end{figure}

\begin{figure}
\floatbox[{\capbeside\thisfloatsetup{capbesideposition={right,top},capbesidewidth=4cm}}]{figure}[\FBwidth]
{\caption{A test figure with its caption side by side}\label{fig:test}}
{\includegraphics[width=5cm]{name}}
\end{figure}

\end{document}

You could also be interested in the tufte document classes:

\documentclass{tufte-book}
\usepackage[demo]{graphicx}
\usepackage{lipsum}

\begin{document}

\lipsum[1]
\begin{figure}
  \centering
  \includegraphics[width=5cm]{name}
  \caption{\protect\lipsum[1]}
\end{figure}

\end{document}

\documentclass[twoside,a5paper]{article}
\usepackage[demo]{graphicx}
\usepackage[outercaption]{sidecap}    
\begin{document}

\begin{SCfigure}
\includegraphics[width=5cm]{name}
\caption{A test figure with its caption side by side}\label{fig:testA}
\end{SCfigure}

\begin{SCtable}
\caption{A test figure with its caption side by side}\label{fig:testB}
\includegraphics[width=5cm]{name}
\end{SCtable}

\clearpage

\begin{SCtable}
\caption{A test figure with its caption side by side}\label{fig:testB}
\includegraphics[width=5cm]{name}
\end{SCtable}
\end{document}