Here's another theory as to why it's more difficult to read in all caps, from the neurolinguistics department:

Fluently literate people don't read letters, they read words as a whole. So if we see "THEORY" it doesn't click as well because we normally see "theory", and we have to take the time to look at the letters.

In related phenomena, if you don't notice mispellings in text, this actually indicates a higher level of reading skills than if you do notice them (unless you are proofreading, which is a different process from reading for content). It's more efficient to see whole words, with your mind automatically correcting them a bit if necessary, than it is to see each individual letter, and have to pause to acknowledge a mistake.

Another, unrelated theory as to why people find all caps irritating, from the semiotics department:

As Kat said, capital letters are frequently used to denote special emphasis. When you read a text, you're not only reading the pure meaning of the words, but reading "between the lines". For example, when you read a letter, part of the message being communicated is the actual contents of the letter, and part of what is communicated comes from things like: is the letter typed or handwritten? Is it on floral stationery? Is it on official letterhead? Was the handwriting done carefully or quickly?

So if capital letters are commonly used for emphasis, when you read something all in capitals it's natural to think "what is this person shouting about?".

Marion, who is doing nothing at all with her degree in Linguistics