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Do not put quotations in italics. Quotation marks (or block quoting) alone are sufficient and the correct ways to denote quotations. Italics should only be used if the quoted material would otherwise call for italics. Use italics within quotations to reproduce emphasis that exists in the source material or to indicate the use of non-English words.
Titles in quotation marks that include (or in unusual cases consist of) something that requires italicization for some other reason than being a title, e.g. a genus and species name, or a non-English phrase, or the name of a larger work being referred to, also use the needed italicization, inside the quotation marks: "Ferromagnetic Material in ...
(The quotation marks are optional in such a construction; do not edit war, either to include or to remove them.) Do not insert a nickname into the name, as in: Xen "Fisty" Zounds; unless the most common name for the subject in reliable sources is that exact form, with the nickname added mid-name, as in Benjamin "Pap" Singleton. This is quite rare.
(The question mark applies to the whole sentence, not just to the emphasized that, so it should not be italicized.) Correct: What are we to make of that? Correct: Four of Patrick White's most famous novels are A Fringe of Leaves, The Aunt's Story, Voss, and The Tree of Man. (The commas, the period, and the word and are not italicized.)
Main page: WP:Manual of Style/Titles of works § Capital letters. In English-language titles, every word is capitalized, except for articles, short coordinating conjunctions, and short prepositions. The first and last words within a title (and within a subtitle) are capitalized regardless of their grammatical role.
Italicize names of books, films, TV series, music albums, paintings, and ships—but not short works like songs or poems, which should be in quotation marks. Place a full stop (a period) or a comma before a closing quotation mark if it belongs as part of the quoted material ( She said, "I'm feeling carefree . " ); otherwise, put it after ( The ...
A caption is text that appears below an image. a Most captions draw attention to something in the image that is not obvious, such as its relevance to the text. A caption may be a few words or several sentences. Writing good captions takes effort; along with the lead and section headings, captions are the most commonly read words in an article ...
An illustration of why it's not correct to quote or italicize these names is easy; just substitute a person: 'Elizabeth II is styled Her Majesty Queen of the United Kingdom, Canada, Australia, and New Zealand; Head of the Commonwealth of Nations; and Duke of Normandy, Lord of Mann, and Duke of Lancaster, among many other styles, offices, and ...