The appropriate punctuation for the underlined word or phrase is quotation marks. You should use quotation marks for titles of poems, short stories and book chapters; articles in journals, newspapers and magazines; songs, single television episodes and commercials.
Irving Berlin wrote "White Christmas" and many other popular songs.
Then the appropriate punctuation for the second example is italics. Films are considered "long texts", so their titles should be italicized.
My favorite movie is The Empire Strikes Back.
