initialism [ih-nish-uh-liz-uh m] noun
1. a set of initials representing a name, organization, or the like, with each letter pronounced separately, as FBI for Federal Bureau of Investigation.
2. a name or term formed from the initial letters of a group of words and pronounced as a separate word, as NATO for North Atlantic Treaty Organization; an acronym.
The New York Times’s practice is to print acronyms of proper names entirely in capitals if they have four letters or fewer: NATO, NASA, PIN, SALT. With longer acronyms, only the first letter is capitalized: Unesco, Nascar, Unicef, Nasdaq, and so on.
However, many publications—the Washington Post, Chicago Tribune, and Christian Science Monitor, among them—disagree and prefer [all-caps names].
The Chicago Manual of Style, which is widely used in book publishing, generally prefers the all-capital form unless the term is listed otherwise in standard dictionaries.
How do I write "xkcd"? There's nothing in Strunk and White about this.
For those of us pedantic enough to want a rule, here it is: The preferred form is "xkcd", all lower-case. In formal contexts where a lowercase word shouldn't start a sentence, "XKCD" is an okay alternative. "Xkcd" is frowned upon.