How do you put multiple paragraphs in a caption?

The following quote from the manual of the caption package (p. 12) is also true for the LaTeX standard definition of \caption:

If your caption contains more than one paragraph, you have to specify an alternative caption for the list-of-figures using the optional argument of \caption or \captionof, otherwise you will get an error message.

EDIT: To clarify: A multi-paragraph figure caption without a single-paragraph optional variant will produce an error even if you don't use \listoffigures in your document.

\documentclass{article}

\begin{document}

\listoffigures

\section{foo}

\begin{figure}[!ht]
\centering
\rule{1cm}{1cm}
\caption[LoF entry]{The first paragraph of a figure's caption.

And the second.}
\end{figure}

\end{document}

You could just put \newline in the front, when you want to start a new paragraph in captions. It works for me.