Titles for movies, television, and radio programs are italicized. A single episode in a television or radio series is set in roman and enclosed in quotation marks.
Star Wars: A New Hope or Star Wars, Part VI
NBC's Law and Order
NPR's Fresh Air with Terri Gross
The Ten O'Clock News, WGBH's long-running program (specific program)
"Micromanaging a Vulcan," an episode in Star Trek: The Next Generation series
the ten-o-clock news (general)
The names of networks, channels, and the like are set in roman (non-italicized) type.
The Discovery Channel
The Food Network
With books, the title is always italicized:
Harry Potter and the Deathly Hallows
With books, when citing specifics, the words "chapter" and "page"/"pages" are lowercase.
If the title is used within a title, reverse italics are used:
My Life With Harry Potter and the Deathly Hallows : A Memoir
It's okay to drop the initial "a," "an," or "the," from a title if it doesn't flow with the surrounding syntax, for example:
I liked the Harry Potter book The Order of the Phoenix because . . .
I liked Order of the Phoenix because . . .
When newspapers and periodicals are mentioned, the initial "the" is lowercare: the Daily Prophet, the New York Times, and the Wall Street Journal. Exception: foreign-language titles retain the article, so Le Monde or Die Zeit.
As an aside, for question titles, there are two main styles to choose from: Headline and sentence style.
This Is an Example of the Headline Style: the Capitalization of All Words
Sentence style: An example
There are so many rules! I threw this together using The Chicago Manual of Style, Sixteenth Edition as my guide.
(Do you need the rule on quoting dialogue, too? You didn't say so, so I didn't want to assume)