Changes to the style of captions may be made by redefining the commands
that produce the caption. So, for example, \fnum@figure (which
produces the float number for figure floats) may be redefined:
\renewcommand{\fnum@figure}{\textbf{Fig.~\thefigure}}
which will cause the number to be typeset in bold face. (Note that
the original definition used
\figurename.) More elaborate changes can be
made by patching the \caption command, but since there are
packages to do the job, such changes (which can get rather tricky)
aren't recommended for ordinary users.
The float package provides some control of the appearance of captions, though it's principally designed for the creation of non-standard floats). The caption2 and ccaption (note the double "c") packages provide a range of different formatting options; ccaption is the more modern and comprehensive, and also provides 'continuation' captions and captions that can be placed outside of float environments.