AT&T has just started incrementally rolling out an over-the-air update to Samsung Captivate users. The update is 12Mb in size and is composed entirely of bug fixes. I would think that they would focus all their energy on getting Froyo out to the Galaxy S phones but, apparently, whatever this update fixes is more important.
Here is a snippet from the AT&T website that explains a little bit further:
An update to improve the Samsung Captivate's GPS performance is now available. Captivate customers will receive a notification on their device that an update is available and will simply need to download the file to update their phone.