Why is the word 'Lord' in all caps in the OT but not in the NT? My friend asked me the other day, why is the word 'Lord' in all capital letters in the Old Testament but not the New Testament?

I tend to lean towards the fact that the OT was written in Hebrew and the word for God in Hebrew is YAHWEH, or rather YHWH, and since they believed His name was so Holy, they only used capital letters.
A convention in many Bibles is to do exactly as you say - convert the Tetragrammaton (YHWH) into LORD. To be sure, you should look at your Bible's preface. In the New Testament, which was composed in Greek, the word Kurios (e.g. Kyrie Elesion) is a title as opposed to a Proper Name. 


  To be clear: יהוה (Yahweh) = LORD - specific name, אֲדֹנָי (Adonai) = Lord - title, κύριος = Lord - title


Interestingly, the Jews took the notion of protection against blasphemy so far, that they would not pronounce the YHWH. Instead, during readings, they would substitute the proper name of God for Adonai, which translates to "my Lord". When the Masoretes attempted to add the vowels between the 7th and 11th Centuries AD, they did not know the correct vowels to use, because the tradition of Adonai was so long entrenched. As a result, they adopted the vowels of Adonai and added them to the Y-H-W-H to get Yah voh (Yahweh), or as the English wanted to pronounce it: Jeh-hov-ah.