not usually, as there are several bank holidays - unlike, say, Good Friday, which is a one-off. But it wouldn't be the end of the world to capitalise it; nobody would fail to understand you.
Sorry to disagree jno but if everyone began to use capitals incorrectly it would be a slippery slope heading toward anarchy, pestilence, an increase in global warming as piles of grammar books were burnt and the end of GMTV...
What about the middle cases? What happened to them. If capitals are allowed to run riot, what'll happen to the once proud initials? They'll be swamped and disappear in a sea of mediocrity.