Android - change dialog title style of all dialogs in application

In styles.xml:

<style name="AppTheme" parent="Theme.AppCompat.Light.DarkActionBar">
        <!-- Customize your theme here. -->
       //All your other styles and add the one mntioned below.

        <item name="alertDialogTheme">@style/AlertDialogStyle</item>
    </style>

In the styles of AlertDialog add:

 <style name="AlertDialogStyle" parent="Theme.AppCompat.Light.Dialog.Alert">
        <item name="colorAccent">@color/colorAccent</item>
        <item name="android:textColorPrimary">@color/primary_text</item>
        <item name="android:editTextColor">@color/primary_text</item>
        <item name="android:background">@color/white</item>
        <item name="android:windowTitleStyle">@style/TextAppearance.AppCompat.Title</item>
    </style>

windowTitleStyle is important to add as it will give your title that effect that you need.

Now simply use this Theme in your AlertDialog in any activity that you want like below:

 AlertDialog.Builder dialog = new AlertDialog.Builder(this, R.style.AlertDialogStyle);

In you dialog theme, the attribute you need to modify windowTitleStyle. There, reference a style for your title and define a text appearance for this title. For example, to display your title red and bold:

<style name="AppTheme" parent="@android:style/Theme.Holo">
    ...  
    <item name="alertDialogTheme">@style/AppTheme.AlertDialog</item>
</style>

<style name="DialogStyle" parent="@style/Theme.Holo.Dialog.Alert">    
    ...
    <item name="android:windowTitleStyle">@style/DialogWindowTitle_Custom</item>
</style>

<style name="DialogWindowTitle_Custom" parent="@style/DialogWindowTitle_Holo">
    <item name="android:maxLines">1</item>
    <item name="android:scrollHorizontally">true</item>
    <item name="android:textAppearance">@style/TextAppearance_DialogWindowTitle</item>
</style>

<style name="TextAppearance_DialogWindowTitle" parent="@android:style/TextAppearance.Holo.DialogWindowTitle">
    <item name="android:textColor">@android:color/holo_red_light</item>
    <item name="android:textStyle">bold</item>
</style>

If you want to style a little bit more your AlertDialog, I wrote a blog post detailing the steps.