Yes, the pronoun 'I' is always capitalised. Don't believe anyone who says that 'i' is fine in informal writing. It isn't. You should always capitalise 'I'.
All other pronouns have a lower case initial. The only time that 'we' 'she' 'they' etc have initial capitals is when they are the first word in a sentence.
The only exception is sometimes in religious texts (prayers, hymns and so on) the pronouns referring to God and Jesus are written with a capital letter. But unless you intend to become a priest one day, I wouldn't worry about that too much!