Do we always need to italicise newspaper names?

The preferred way is itilicized. But preferred isn't necessarily the "normal." It's one of those rules that's more often broken than observed.

For magazines and newspapers, italic seems preferred. Use underscore for book titles. On online forums where some don't bother to capitalize the beginning of a sentence, I wouldn't bother with either.

Dangit. You were too quick, again.

Fansy: There is no "normal" way. Usually when writing for publication you should follow whichever "style guide" is appropriate.

1. An overview:

http://en.wikipedia.org/wiki/Style_guide

2. Some (UK English) online examples:

http://www.guardian.co.uk/styleguide

http://www.economist.com/research/styleguide/

http://www.timesonline.co.uk/tol/tools_and_services/specials/style_guide/

www.bbctraining.com/pdfs/newsstyleguide.pdf

Particularly relevant may be referencing style guidance for example:

http://www.cs.bham.ac.uk/~pxc/refs/index.html