As far as I know, no. But for obvious reasons people tend to name sprites beginning with "spr_", objects beginning with "obj_", rooms beginning with "rm_", sounds beginning with "snd_", etc. (without such a convention you may inadvertently give two separate resources the same name...)
Since the built-in functions and variables are all written in all lowercase_with_underscores, that's what I do when making my own scripts and variables. But I think some people prefer to use camelCase instead. Other people use camel case only for their script names, in order to not confuse their scripts with their variables (I think this is how it's done in Java?) Likewise, some people name all their scripts begining with "scr_" in order not to confuse their scripts with variables, though I personally don't see much point in doing that. But whatever you do you should probably be consistent.
I like to use all CAPS for constants, in order that I can easily recognize them as constants. I see other people doing that as well, though none of GameMaker's built-in constants are like that.