Capitalize first words in a list?

Yes, it depends on the content - and the context - of the list. In a way you have to kind of forget that the bullet points are there and decide whether the list is part of one big sentence or whether each point is a separate sentence. For example:

(all one sentence - lower case):

In my spare time I like to:

• cut down trees
• eat my lunch
• go to the lavatory

(separate sentences - capital letters):

Some characteristics of a lumberjack I know:

• He's ok.
• He sleeps all night and he works all day.
• On Wednesdays he goes shopping and has buttered scones for tea.