A caption explains a photograph or graphic image. It might be as simple as the name of the person pictured, or a few lines describing the action or setting. Set them in an italicized version of the body text or headline typeface.
Some professionals recommend putting an 1/8 inch of space between an image and its caption. If there is too much space, it won't be clear that they belong together. Make this decision at the outset so that your placement is consistent from page to page.
Place the caption beneath or along side the image, or if you have room, hang it out in the margin and surround it with white space. Provided that readers know the caption belongs to the image, there's no reason you can't be creative.