Where it began is up for debate. But, the consensus seems to be that International CAPS LOCK Day was started in 2000 by Derek Arnold. There is an "Official" site. It’s colourful.
I found this blog, CAPS LOCK DIABLOG, which had written a tribute to CAPS LOCK:
On October 22nd, will you leave your CAPS LOCK on?
HubPages: INTERNATIONAL CAPS LOCK DAY!!
TNW: Today is International Caps Lock Day, but what is it?
WebProNews: Caps Lock Day Trends on Twitter, but not in Caps
Uncyclopedia: cAPS lOCK
Wikipedia: Caps Lock
LifeHacker: Neuter the Caps Lock Key with Handicapslock