Почему каждое слово в названии группы или песни начинается с большой буквы? И как правильно писать название?

Отличный ответ был уже дан на сайте angrymetalguy:

First, let me say, there are a number of different ways to do capitalization. It’s true that there are different rules and that we can use them differently. For example, in Sweden and Finland, it is expected that only the first letter of a title is capitalized. For example, one doesn’t write Till Fjälls, one writes Till fjälls. In Swedish (Norwegian, Finnish, etc.) this is acceptable and fine. In American English — the lingua franca of Angry Metal Guy (as it were) — this is not the case. Nay, indeed, when we capitalize here we capitalize every word in the title that is not a preposition or article (if said preposition or article is not the first letter in the sentence). For example: “The Bloody Fields of Flying Unholy Death that Broken upon the Fields of Demons, Who Enraged by Battle Let a Mighty Scream.” Boom.

That means that we do not write titles like this: “The Epic Thing Of Epicness That Is Epic And Mightily Over Capitalized.” Nor do we write things like this “I forgot how to do proper capitalization in american english.” Neither of these are correct.

http://www.angrymetalguy.com/angry-metal-guy-speaks-on-capitalization/