Italicize "major" works, quote "minor" works. When in doubt, italicize.
Italicize "major" works - collections of other works (magazines, newspapers, books, albums), or anything that has to take more than a man-month to do (films, TV series, epic poems).
Quote "minor" works - pieces of a whole (articles, chapters, songs, episodes), or self-contained shorter works (poems, short stories).
When in doubt, italicize - e.g. works of visual art, pamphlets (?), website names, and software product names.
(A complete list can be found
here.)