Index: wp-includes/media.php
===================================================================
--- wp-includes/media.php	(revision 19037)
+++ wp-includes/media.php	(working copy)
@@ -737,6 +737,32 @@
 		'caption' => ''
 	), $attr));
 
+	// Restore the original HTML
+	$_caption = html_entity_decode($caption);
+	
+	// Only allow a subset of tags
+	$allowed_tags = array('strong', 'em', 'a');
+	
+	// Set those tags aside
+	if ( preg_match_all('/<\/?([a-zA-Z]+).*?>/x', $_caption, $matches) ) {
+		$i = 0;
+		$searches = array();
+		$replacements = array(); 
+		foreach ( $matches[0] as $k => $v ) {
+			if (in_array($matches[1][$k], $allowed_tags) ) {
+				$_caption = str_replace($v, 'tag-' . $i, $_caption);
+				$searches[] = 'tag-' . $i++;
+				$replacements[] = $v;
+			}
+		}
+		
+		// Re-encode the caption
+		$_caption = htmlentities($_caption);
+
+		// Restore the allowed HTML
+		$caption = str_replace($searches, $replacements, $_caption);
+	}
+
 	if ( 1 > (int) $width || empty($caption) )
 		return $content;