With examples from Stargate.
(For an overview of when it is appropriate to use italics, please see chiroho's previous answer: How are italics used in text?)
When it comes to italicizing punctuation, the general rule (at least according to the Chicago Manual of Style) is:
Only italicize punctuation when it is a part of the text being italicized. Otherwise keep the punctuation in the same type face as the regular text. This is true for all types of punctuation.
Example: Have you seen that television series they based on the movie Stargate?
Here the question mark at the end of the sentence is not italicized because the punctuation applies to the overall sentence and is not part of the movie's title.
Example: It's called Stargate: SG-1.
In this example the colon after "Stargate" is italicized because it is considered to be part of the title, and thus is included as part of the entire italicized section.
Also, when making an italicized title possessive, don't italicize the apostrophe or the "s."
Example: What did you think of Stargate's main cast?
These guidelines are according to the most recent edition of the Chicago Manual of Style, and it seems to be a new change (see this Q&A page on the CMS website). In previous editions the CMS advised to keep all punctuation immediately after an italicized word italicized, regardless of context. The recent change makes this a bit of a controversial issue.
Since this is a controversial issue, it might be best to let your beta know if you've chosen to do it one way or the other, just so you'll both be on the same page. And if you're writing to a specific editor's guidelines, you should look up their individual rules for how to go about italicizing punctuation. And as always, whichever style you follow, use it consistently.