The BBC News Styleguide (March 2003, pdf) says:
Abbreviations & acronyms
One should not aim
at being possible to
understand but at
being impossible to
Just because you know what NACRO means, and
the people you’ve discussed the story with know
what it means, it doesn’t follow that the majority of
your audience know. Assume nothing. Some short
forms such as NATO, CIA, BBC, ITV,AA and RAC
are well known and need no explanation, but think
twice before using others. If you introduce the likes
of BECTU, HSBC, RNIB, RTZ,ACAS and the BMA
into your scripts without saying what they mean,
you are virtually inviting some listeners or viewers
to turn off. It’s usually better to give the full name of
an organisation at first reference and then use its
short form later.
It doesn't explicitly say to capitalise or not, but all these examples are given in upper case, including NATO.
As slim pointed out, the Guardian style guide says to always take an initial cap for pronounced words:
Use all capitals if an abbreviation is pronounced as the individual letters: BBC, VAT, etc; if it is an acronym (pronounced as a word) spell out with initial capital, eg Nasa, Nato, unless it can be considered to have entered the language as an everyday word, such as awol, laser and, more recently, asbo, pin number and sim card. Note that pdf and plc are lowercase.
This sometimes looks a bit strange in print, with unfamiliar acronyms rendered as words, even when the organisation in question and most people use all capitals.
My advice is to follow your style guide (if you have one), or decide per acronym whether to capitalise based on how the organisation or owner writes it, and based upon popular usage. And thereafter be consistent.
NATO themselves use all capitals, and this is also the most common:
But the BBC have been using Nato more recently. Perhaps they have decided it is well known enough that it can be written like this, in a similar way that LASER and RADAR have become naturalised as laser and radar.