I certainly like David's examples very much!
For me, it depends on the book. I try
to handle chapter titles in a way that contributes to the overall
character of the book---it's ambiance if you will.
For instance, in “Velda,” which is
a hard-boiled detective novel, the chapters are simply numbered:
“Chapter One,” “Chapter Two,” etc., choosing to spell out the
numbers in this case.
The “Company of Heroes” series is a
fantasy/steampunk adventure. The chapters have brief titles that are
descriptive/anticipatory: “Chapter One: Arrival,” “Chapter Two:
The Villains Have Difficulties,” “Chapter Six: Flight.”
“The Iron Tempest” is a fantasy
adventure set in Carolingian Europe. The chapter titles are meant to
emulate the style of nineteenth century novels (including the use of
capitalization for emphasis): “Chapter Three: In which Bradamant
rescues her True Love---only, to her consternation and astonishment,
to see him take flight,” “Chapter Seven: In which Bradamant meets
a confused Princess and finds refuge, but not much Solace, among the
Brothers of God.”