As was said before, ALPA seems to do it as a sign of respect. They address the Captains and First Officers (and Second Officers should the shoe fit) as such in communications such as e-mails, blastmails and the ever-wonderful Mustache Monthly.
When Scheduling calls us, they call us Captain, First Officer, etc.
I love standing around the crew room and hear people call into Scheduling, Dispatch, MX Control, etc and say, "This is Captain ..." I just use my first and last name all the time.
And I don't know which airport you guys are going through, but the TSA guys seem to think we're buddies every time I go through. They always call me by my first name. That's the only time I want to be addressed as Captain or Sir...only because I have such distain for the TSA. I've actually said (to no one in particular), "I didn't realize we were friends."