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I wondered the same thing when I first started using linux. Consider the possibility of two commands spelled the same way, with different case. Like run_command and Run_Command. In dos, or dos box in windows, they'd be the same command, but in linux they're not. I could immediately see the freedom it gives the programmer or the casual user, you have a lot more choices for script names, etc.
Linux is case sensitive because 'a' and 'A' are different as far as the OS is concerned. Historically, MS-DOS only used uppercase to represent filenames. In an attempt to allow lowercase while retaining backward compatibility, Windows 95 introduced LFNs (Long File Name) into the FAT filesystem. LFN allowed filenames longer than the MS-DOS 8.3, and in an effort to keep things uncomplicated, made no distinction between upper and lower case letters.
Well, I'll give you a different answer: because case sensitive is simpler and faster to sort. Case insensitive sorting is much slower. I don't know about it being simpler for the user, but luckily the tab key does most of the typing for me.
LINUX is and was and will be developed using the C Language.
C is case sensitive and case sensitiveness also gives a lot of freedom and extra options.
Hence Linux is and must be case sensitive forever!
Distribution: openSuSE 13.2 / 12.3_64-KDE, Ubuntu 14.04, Mint 17
Small and capital letters have different ASCII-representations, thus for the system they are not the same. And Unix being a byte stream oriented OS ... DOS/Win has consistently to "to_upper()" any file name related input as their problem.