In general, titles of long works should be italicized while shorter works should be enclosed in quotation marks. That said, there are always exceptions to the rule. As a general rule of thumb, if you can't decide whether or not to italicize a title, err on the side of caution and italicize it.
Here are some examples of titles that should be italicized:
Books: The Great Gatsby, One Hundred Years of Solitude
Long poems: The Odyssey, Paradise Lost
Plays: Hamlet, Waiting for Godot
Television shows: Game of Thrones, Mad Men
Movies: The Godfather, The Silence of the Lambs
Some examples of titles that should be enclosed in quotation marks are as follows:
Short stories: "The Lottery," "The Cask of Amontillado"
Essays: "Capital Punishment in America," "The Equality of Women"
Newspaper articles: "Trump Promises to Make America Great Again," "Clinton Wins New York Primary"
Songs: "The Times They Are a-Changin'," "Hey Jude"
As you can see, there are a few exceptions to the rule. If you're ever unsure about whether or not to italicize a title, the best course of action is to ask your teacher or professor.