SQL keywords are routinely uppercase, but there is no, one "correct" way. Lowercase works just as well. (N.B. Many think that using uppercase keywords in SQL improves readability, although not to say that using lowercase is difficult to read.) For the most part, however, no one will be averted to something like:
SELECT * FROM `users` WHERE id="3"
Although, if you prefer, this will work as well:
select * from `users` where id='3'
Here's a list of them. Note that they are written in uppercase, but it is not required:
http://developer.mimer.com/validator/sql-reserved-words.tml
Here's another good resource that I keep in my "interesting articles to read over periodically." It elaborates a bit on some somewhat interesting instances when case should be taken into consideration:
http://dev.mysql.com/doc/refman/5.0/en/identifier-case-sensitivity.html