You can change your IP to basically any country you wan to, including Italy. You can use a proxy or a VPN to get an Italian IP address. I prefer VPNs. Here's why.

Proxies

I'll start by talking about proxies. They're not all bad - here are some good things about using a proxy to get an Italian IP. For one, you don't have install a web based proxy. If you speak Italian and can navigate to Italian proxy sites, or know of a web portal with Italian web based proxies, then great. This means if you have a couple of good web based proxies under your sleeve, you can access them on any computer or phone you have access to. This is why they're popular with students.

The problem is that you have to find these sites, and finding high quality proxies is a problem. Most of the time, proxies are crappy little sites run by some wannabe hacker in his basement that wants to promote hacking because he/she thinks its cool. There are professional proxy services, but web based ones are not going to have Italian IPs. They'll have US and UK, or general European IPs.

Proxies are also limited to web based activities. Other software and application based activity is going to use your local IP.

Virtual Private Networks

You probably have figured out by know that I recommend VPNs. So here are the problems with proxies that VPNs take care of. For one, they encrypt and change the IP of all of your online activity. This includes software based games, phone apps, VoIP, streaming devices, and whatever stuff you have running on you computer. I remember being in China and I found out that my web analytic software was banned in China because it used Google searches. Good thing I had a VPN.

VPNs also provide you with much better encryption, anonymity, and connection reliability. Not only does the actual software work better, but the services have better infrastructure. Rather than getting to a one-page website with graphics from the 90's and wondering if you should really cough up your credit card number to this site, then waiting two weeks for a response from their customer service team, you get professionalism all the way (if you choose the right VPN service, of course). Some places offer live support to answer your billing and tech questions. Other places guarantee answers within 24 hours.

Some VPN websites even give you access to hundreds of VPN service for one price. This means that you could potentially get access to more than one Italian VPN server, plus servers across Europe, Asia, North & South American, and maybe even Africa. You can sur and stream with an Italian IP address one day, and an American IP the next. Access Japanese anime streaming site (or other interesting streaming sites from Japan, ehem) on Monday, then stream the BBC DIRECTLY from The UK (through BBC iPlayer). These are all just perks.

The most important thing about using a VPN for your Italian IP address is that it'll get you past more firewalls, and do a better job of it. Some proxies are blocked because of their association with hacking and spam. VPN IPs rarely are. So with a VPN connection, you get more sites, more reliability, more privacy, and more options.

VPN Services

VPN services will generally have three VPN protocols to offer: PPTP, L2TP, and OpenVPN. More and more are now offering SSTP. PPTP is like a standard VPN for general surfing and streaming - it's pretty fast. L2TP and OpenVPN sometimes eat up your bandwidth, but they do this because they use upgraded encryption. In fact, OpenVPN can sometimes be upgraded to 5 or 6 times the normal 128-bit encryption levels, for military grade encryption on your computer! Now that's great privacy. SSTP is used for Vista and Win 7, but these two operating systems can also use L2TP or OpenVPN.