Although you do not need to hold an ATPL to be the Captain of an aircraft, you will find it very difficult to get a position as a Captain on a two-crew aircraft without one.
The main reason? Insurance.
Things post 11-9 have gone from bad to worse on the insurance side and stipulating that the Captain must be an ATPL is one way of keeping the costs down. In many cases most operators make it a rule that Captains must hold an ATPL (it's in our Ops Manual).
On smaller aircraft, piston twin operations for example, this isn't as strictly enforced. In many cases by the time you have the experience for Captaincy you'll be up towards the +1,500 mark anyway.
As always though... there are exceptions to every rule!