Footnotes in captions are especially tricky: they present problems of their own, on top of the problems one experiences with footnotes in section titles and with footnotes in tables. Fortunately, the requirement for footnotes in captions is extremely rare: if you are experiencing problems, it is worth reviewing what you are trying to say by placing this footnote. Note that the threeparttable scheme (see, again, footnotes in tables) also applies to notes in captions, and may very well be preferable to whatever you were thinking of.
If you are going to proceed:
\caption command, that
doesn't have the footnote in it; this prevents the footnote
appearing in the "List of ...", and
minipage so as to keep
the footnotes with the float.
\begin{figure}
\begin{minipage}{\textwidth}
...
\caption[Caption for LOF]%
{Real caption\footnote{blah}}
\end{minipage}
\end{figure}
However, as well as all of the above, one also has to
deal with the tendency of the \caption command to produce the
footnote's text twice. For this last problem, there is no tidy
solution this author is aware of.
If you're suffering the problem, a well-constructed \caption
command in a minipage environment within a float (as
in the example above) can produce two copies of the footnote
body "blah". (In fact, the effect only occurs with captions that are
long enough to require two lines to be typeset, and so wouldn't appear
with such a short caption.)
The documentation of the ccaption package describes a really rather awful work-around.
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=ftncapt