This depends on your style guide. For formal writing, or when every item in a bulleted list is its own sentence, you should always capitalize the first letter.
- For example, my first point is a sentence of its own.
- My second point is, as well.
However, if you're listing things that aren't sentences of their own, you can use lower-case, as in:
- lists that begin in the middle of a sentence
- standalone items without a grammatical relationship between them
However, specific style guides might always want you to capitalize the first letter of bulleted lists.