Set Italic and Bold Font to UILable and anything else...

You have to actually ask for the bold, italic version of a font. For example:

UIFont *myFont = [UIFont fontWithName:@"Helvetica-BoldOblique" size:[UIFont systemFontSize]];

To get a list of everything available on the iPhone, put this little snippet in yourapplicationDidFinishLaunching: delegate method and look at the log output:

for (NSString *family in [UIFont familyNames]) {
    NSLog(@"%@", [UIFont fontNamesForFamilyName:family]);
}

Note: Some font names say "oblique" - this is the same as italic.

I can't see a built-in way of doing underlines - you may have to draw the line yourself.