Handing out worksheets and colorful washable markers to children is always a way to catch their attention, for preschoolers love to draw. Print out alphabet tracer pages that have both a letter and a word that is associated with that letter on them. Have the child say the letter, then the name of the object on it. Point out which is the lower case and which is the upper case. Have the child trace both forms of the letter and color in the object. Hang all the letters up on the wall for the class to see and be proud of.
Place a set of magnets shaped like upper case and lower case letters on a large metal board. Work with the children to make words with the letters, arranging them by sliding them across the board. Also have kids try to place them in order, starting from A and going all the way to Z while singing the alphabet song. Involve the entire class; kids can help each other out with the tough task of arranging all the letters.
Create your own large letters with markers, with both lower case and upper case letter written individually on large pieces of thin cardboard or file folders. Place velcro on the back of the lower case letters and on the front of the upper case letters. Have the children match the lower case letters to the upper case letters to have them learn and remember not only what individual letters look like, but also what they look like when capitalized.
There is a variety of online games and activities provided by educational services. Fisher-Price has several, ranging from infant to preschool; one of them aids kids in learning the phonics of the alphabet. Sheppard Software's Sunnie's Letters is a preschool game in which kids can associate the alphabet through animals. In so doing, they learn the letters of each word. Go through the games a couple of times initially with the kids, and then allow them to play on their own.