Do you capitalize both parts of a hyphenated word in a title?

Do you capitalize both parts of a hyphenated word in a title?

"My Ex-Wife Hates Me"

or

"My Ex-wife Hates Me"

Capitalization of hyphenated words in general is really more a question of style than anything else.
In other word, choose a rule and be consistent with it:

From Garbl's writing center:

When capitalizing hyphenated words in a title, choose a style and follow it consistently.

Simplest is to capitalize only the first word unless later words are proper nouns or adjectives:

Unique benefits for part-time violinists,
All-American flag-waving techniques.

Second is to capitalize all words except articles, short prepositions and short conjunctions:

Over-the-Counter Acid Reducers for Sale Here,
A Matter-of-Fact Approach to Guitar Tuning,
A New Park-and-Ride Lot for Commuters.

Optional exceptions to the second style are to lowercase the word after a prefix unless it is a proper noun or adjective and to lowercase the second word in a spelled out number:

Anti-intellectual Conduct,
Twenty-first Century Values.

In your case, since "ex-" is a prefix:

My Ex-wife Hates Me