Italics, according to the Chicago Manual of Style.  (I have the 14th edition
open.  I understand there is now a 15th, but I doubt it's significantly
different.)  Entry 7.154 on Titles of Works: Paintings and Sculpture states
"Titles of paintings, drawings, statues and other works of art are
italicized."  There does not seem to be any specific entry on titles of
phtos, but I would assume that any photo that has an actual title is
intended to be viewed as a work of art.

Various other entries support Jay's conention that we use italics for the
whole, quotes for the part.  Examples are given from musical compositions,
television series, articles from magazines, etc.

I would never underline anything in an exhibit label, for legibility's sake.

Eugene Dillenburg
Exhibit Developer (and reluctant keeper of the style sheet)
Science Museum of Minnesota
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