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As a general rule lowercase the in the names of magazines, newspapers, organizations (even if the organization's letterhead doesn't), statuary, nicknames, epithets, and appellations:
the American University
the Johns Hopkins University
the American Red Cross

the Great Dismal Swamp
the Jockey Club
the New York Times
the Times of London

the Nature Conservancy (TNC)
the "Dance of the Seven Veils"
the Windy City
Capitalize the article the in a few place-names:
            The Dalles
            The Hague
but     the Bronx.

In epithets and appellations, the is preferably placed outside the initial quotation mark:
            the "salmon capital of the world"
            the "bull of the woods"
but     Werner "the Bruiser" Janney.

In titles of books, songs, plays, etc., capitalize an initial The, but after a possessive, omit The or A:
            The Merchant of Venice by Shakespeare
            Shakespeare's Merchant of Venice.