Using \footnote in a figure's \caption

The combination of the answers given by Herbert and by Peter worked for me, i.e. the following code:

\documentclass{article}
\usepackage[demo]{graphicx}

\begin{document}

\begin{figure}
   \centering
   \includegraphics{foo}  ...
   \caption[Caption for LOF]{Real caption\protect\footnotemark}
\end{figure}

\footnotetext{blah blah blah}

\end{document}

\documentclass{article}
\usepackage[demo]{graphicx}

\begin{document}

\begin{figure}
  \centering
  \includegraphics{foo}  ...
  \caption[Caption for LOF]{Real caption\footnotemark}
\end{figure}

Anywhere on the same page where the float appears\footnotetext{blah}
but at least before the next footnote\footnote{the nextone}

\end{document}

The optional argument of \caption should always be used when the list of figures is also being used. Otherwise, you have to \protect the \footnote.

  \caption[Caption without FN]{caption with FN}

A useful alternative is to write a footnote-like comment directly under the caption:

\begin{figure}
  \centering
  \includegraphics{foo}  ...
  \caption[Caption for LOF]{Real caption\textsuperscript{a=}}
  \small\textsuperscript{a=} The footnote-like comment under the caption
\end{figure}

One solution:

\begin{figure}
  \begin{minipage}{\textwidth}
    ...
    \caption[Caption for LOF]%
      {Real caption\footnote{blah}}
  \end{minipage}
\end{figure}

See the UK TeX FAQ: Footnotes in captions