How to capitalize the first letter of each word in a string

From the documentation, though IMHO not easy to find:

StringReplace["this is a test", WordBoundary ~~ x_ :> ToUpperCase[x]]

"This Is A Test"

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István Zachar highlighted a problem with WordBoundary that I'm still trying to understand. Nevertheless it seems that one can use:

strAcc = "árv ízt űr őt ük örf úr óg ép";

StringReplace[strAcc, z : (StartOfString | WhitespaceCharacter ~~ _) :> ToUpperCase[z]]

"Árv Ízt Űr Őt Ük Örf Úr Óg Ép"

It appears that the PCRE library at least as used by Mathematica does not recognize certain characters as letters. A few examples:

StringReplace[strAcc, z : RegularExpression["(?:\\A|\\s)."] :> ToUpperCase[z]]
StringReplace[strAcc, z : RegularExpression["\\b."] :> ToUpperCase[z]]

"Árv Ízt Űr Őt Ük Örf Úr Óg Ép"

"Árv Ízt űR őT Ük Örf Úr Óg Ép"  (* note odd handling *)

StringCases["abcőű", RegularExpression["\\w"]]

{"a", "b", "c"}                  (* ő and ű missing *)

Actually, WordBoundary won't always work correctly (see this thread):

str = "the lazy dog jumped over the quick brown fox.";
strAcc = "árv ízt űr őt ük örf úr óg ép";

StringReplace[str, WordBoundary ~~ x_ :> ToUpperCase[x]]
StringReplace[strAcc, WordBoundary ~~ x_ :> ToUpperCase[x]]

"The Lazy Dog Jumped Over The Quick Brown Fox."

"Árv Ízt űR őT Ük Örf Úr Óg Ép"   (* note ű,ő instead of Ű,Ő *)

Use instead this custom made toTitleCase:

toTitleCase[str__] := StringJoin@Riffle[ToUpperCase@StringTake[#, 1] <> 
       ToLowerCase@StringTake[#, {2, -1}] & /@ StringSplit@StringJoin@str, " "];

toTitleCase[str]
toTitleCase[strAcc]

"The Lazy Dog Jumped On The Quick Brown Fox."

"Árv Ízt Űr Őt Ük Örf Úr Óg Ép"

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In version 10.1, this is built in as ToTitleCase (if I recall correctly, it was an experimental function; documentation is no longer accessible on the net). This version removes all non-alphanumeric characters from the string; I assume this is a bug.

ToTitleCase[str]
ToTitleCase[strAcc]

"The Lazy Dog Jumped On The Quick Brown Fox"

"Árv Ízt Űr Őt Ük Örf Úr Óg Ép"

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ToTitleCase has an eventful development history: in version 11, it is removed from among the built-ins, but is still acccessible from the "GeneralUtilities`" context. It does not remove non-alphanumeric characters anymore from the string.

GeneralUtilities`ToTitleCase[str]
GeneralUtilities`ToTitleCase[strAcc]

"The Lazy Dog Jumped Over the Quick Brown Fox."

"Árv Ízt Űr Őt Ük Örf Úr Óg Ép"

While I endorse Mr.Wizard's pattern matching solution and I've given Istvàn +1 I would also like to submit this function which is meant to not rely on string patterns and be as readable as possible:

toTitleCase[str_] := StringJoin[
  MapAt[
   ToUpperCase, Characters[str], 
   Position[Characters[" " <> StringTrim@str], " "]
   ]
  ]

toTitleCase["the lazy dog jumped over the quick brown fox"]

"The Lazy Dog Jumped Over The Quick Brown Fox"