1. Italics
- Paintings
- Sculptures
- Drawings
- Posters
- Prints
Examples: Guernica (painting), David (sculpture), etc.
2. Roman
- Series of unique works of art
- Titles bestowed by someone other than the artist
Examples: La Gioconda (title bestowed by someone other than the artist)
Musical Works
This is where it gets a bit tricky!
1. Italics
- Albums
- Operas
- Musicals
- True titles of symphonies, concertos, etc.
Examples: Making Mirrors by Gotye (album), La bohème by Puccini (opera), Wicked (musical)
2. Roman in quotation marks
- Songs
- Arias
- Anthems
- Movements
- Nicknames
Examples: 'Hysteria' by Muse (song), 'Summertime' from Porgy and Bess (aria), 'God Save the Queen' (anthem), 'Winter' from The Four Seasons (movement), the 'Jupiter' symphony (nickname)
3. Roman
- Generic names
- Tempo markings used as titles of movements
- Sections of mass and other services
Examples: Beethoven's Symphony No. 5 (generic name), the Adagietto from Mahler's Symphony No. 5 (tempo marking used as title of movement)
The above is just a summary! If you want more detailed information, I recommend New Hart's Rules: The Handbook of Style for Writers and Editors (OUP).