When should italics be used in letters? I know that you bold words for emphasis, is it the same with italics?

1) " When to use

Emphasis: "Smith wasn't the only guilty party, it's true".
The titles of works that stand by themselves, such as books or newspapers: "He wrote his thesis on The Scarlet Letter". Works that appear within larger works, such as short stories, poems, or newspaper articles, are not italicized, but merely set off in quotation marks.
The names of ships: "The Queen Mary sailed last night."
Foreign words, including the Latin binomial nomenclature in the taxonomy of living organisms: "A splendid coq au vin was served"; "Homo sapiens".
Using a word as an example of a word rather than for its semantic content (see use-mention distinction): "The word the is an article".

Using a letter or number mentioned as itself:
John was annoyed; they had forgotten the h in his name once again.
When she saw her name beside the 1 on the rankings, she finally had proof that she was the best.
Introducing or defining terms, especially technical terms or those used in an unusual or different way: "Freudian psychology is based on the ego, the super-ego, and the id."; "An even number is one that is a multiple of 2."
Sometimes in novels to indicate a character's thought process: "This can't be happening, thought Mary."
Algebraic symbols (constants and variables) are conventionally typeset in italics.
Symbols for physical quantities and mathematical constants: "The speed of light, c, is approximately equal to 3.00×108 m/s."
"
Source and further information:
http://en.wikipedia.org/wiki/Italic_type#When_to_use


2) " In typography, emphasis is the exaggeration of words in a text with a font in a different style from the rest of the text—to emphasize them.
[...]
Methods and use of emphasis
The human eye is very receptive to differences in brightness within a text body. One can therefore differentiate between types of emphasis according to whether the emphasis changes the “blackness” of text.
A means of emphasis that does not have much effect on “blackness” is the use of italics, where the text is written in a script style, or the use of oblique, where the vertical orientation of all letters is slanted to the left or right. With one or the other of these techniques (usually only one is available for any typeface), words can be highlighted without making them stand out much from the rest of the text (inconspicuous stressing). Traditionally, this is used for marking passages that have a different context, such as words from foreign languages, book titles, and the like.
By contrast, boldface makes text darker than the surrounding text. With this technique, the emphasized text strongly stands out from the rest; it should therefore be used to highlight certain keywords that are important to the subject of the text, for easy visual scanning of text. For example, printed dictionaries often use boldface for their keywords, and the names of articles can conventionally be marked in bold.
If the text body is typeset in a serif typeface, it is also possible to highlight words by setting them in a sans serif face; this practice is somewhat archaic.
Small capitals are also used for emphasis, especially for the first line of a section, sometimes accompanied by or instead of a drop cap.
In Cyrillic and blackletter typography, it used to be common to emphasize words using letterspaced type. This practice for Cyrillic has become obsolete with the availability of Cyrillic italic and small capital fonts (Bringhurst version 3.0, p 32). "
Source and further information:
http://en.wikipedia.org/wiki/Emphasis_(typography%29

When in Rome, use Italics, I always say

You don't normally embolden words for emphasis; normally it is done to provide headings or specifically emphasis in a quote. In a normal letter, and in general writing, italics would be used to provide emphasis.