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Is there a name for the decorative, often scrolled, capital letter of the first word of a book or chapter? See the scrolled "T" icon by my user name for an example.

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It's called a Drop Cap

The first letter of a paragraph that is enlarged to "drop" down two or more lines, as in the next paragraph. Drop caps are often seen at the beginning of novels, where the top of the first letter of the first word lines up with the top of the first sentence and drops down to the four or fifth sentence.

http://www.webopedia.com/TERM/D/drop_cap.html

Drop caps can be anything from highly decorative to merely larger than the following text size.

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    To add to Scott's answer, this is also a good reference: Daily Drop Cap
    – Lucian
    Feb 24 '17 at 21:43
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    +1, but it is actually called an Initial Letter (as your links correctly state). A drop cap is a subclass of this, along with raised caps etc.
    – Yorik
    Feb 24 '17 at 22:47
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    Agreed @Yorik - However, the common colloquialism is to refer to any alteration of the initial letter as a "drop cap" (as my links also kind of indicate) :)
    – Scott
    Feb 24 '17 at 22:57
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The word that you are looking for is illuminated - search for illuminated letters or illuminated characters and you'll find lots of examples.

To clarify and tie in with the other answer, a drop cap (or dropped cap or dropped capital) refers to the practice of enlarging the first letter so that it spans two or more lines of the paragraph that it starts. A drop cap can be in the same typeface as the rest of the text so it's a separate thing to the illuminated characters that you're referring to in your question.

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