A little more detail:

Sub Conv()
For Each cell In Selection
cell.Value = StrConv(cell, 3)

I always find using the built-in VB constants makes reading a statement
easier...

cell.Value = StrConv(cell, vbProperCase)

I prefer to not change any formulas in the selection to values.

cell.Formula = StrConv(cell, vbProperCase)

Actually, I wasn't commenting on the technique that Shane posted, only his
use of a "magic number". VBA has an enormous amount of predefined constants
available for the programmer and my personal preference is to use them over
their numerical values. The name of these constants are usually
self-documenting making reading and/or changing one's code much easier in
later coding sessions.

Rick