This function returns the initials of a name which is passed to it.

Initials in 140bytes (annotated).js

function(fn)
{
	var 	n=fn.split(" "),	// Split the full name into an array
		it="",			// Create and set the intials variable to nothing
		i;			// Set i to 0 for the while loop
	while(i<n.length)		// While loop that runs while i is smaller than the length of the array of names
	{
		it+=n[i][0];	// Get the first letter from the name and add it to the it(initial) variable
		i++			// Increment i by 1
	}
	return(it.toUpperCase())	// Convert the initials to uppercase and then return it
}

Initials in 140bytes.js

function(fn){var n=fn.split(" "),it="",i;while(i<n.length){it+=n[i][.substr(0,1)[0];i++}return(it.toUpperCase())}

Just shortened it some more!

//function(n){for(n=n.split(" "),t="",r=0;r in n;)t+=n[r][0],r++;return t.toUpperCase()}
//86 bytes

alert(function(n){for(n=n.split(" "),t="",r=0;r in n;)t+=n[r][0],r++;return t.toUpperCase()}('Dave Brown'))

I like periods after them:

//function(n){for(n=n.split(" "),t="",r=0;r in n;)t+=n[r][0]+'. ',r++;return t.toUpperCase()
//90 bytes
alert(function(n){for(n=n.split(" "),t="",r=0;r in n;)t+=n[r][0]+'. ',r++;return t.toUpperCase()}('Dave Brown'))