Credit Cards/Banking
Make sure and call your bank multiple times to inform them that you are going to be abroad for an extended period of time and will most likely be in multiple countries. I know a lot of people who had trouble paying their housing deposit because their banks blocked the payment cause it was through Italy. In addition, my banks, Chase and Wells Fargo, only put a note on my account for 3 months saying I was abroad so every 3 months I needed to call and remind them. I recommend finding a bank and credit card that does not charge a conversion fee and/or using a different bank atm fee. I believe Capital One does not have a fee. A Fidelity credit card has no fees at all. It is not necessary to create a bank account there. Automated Teller Machines (ATMs not to get confused with the public transit) are called Bancomats there. At a lot of locations they will ask you if you have a Bancomat card because it is easier for them to use. Just say no and give them a Visa or Mastercard or whatever.
ATMs/Bancomats: Try and withdraw as much as you can at once because fees will add up and be aware that some banks such as Wells Fargo have a maximum daily withdrawal limit. So keep that in mind whenever you need to pay rent or are about to leave for a trip. Also when you are withdrawing money from ATMs make sure you cover your hand when you enter your pin number because there might be a camera watching you, trying to steal your information. You should not use ATMs that are not bank ATMs because they might have a card reader and steal your information.
In addition, I would continuously check the exchange rate from US Dollars to Euros and try to get the best rate for when you pay for anything or withdraw cash if you have some flexibility in when you do it.
Flights
Start looking for cheap flights as soon as you know that you have been accepted to the program. Prices vary. I know people who can got flights from $450 to $1500. So just stay on top of things. Most of the California students flew on British Airways because they had the cheapest fare connecting to Milan. I know a lot of people on the East Coast flew Alitalia, but I don't know the details.
Scholarships
If you are planing on obtaining getting scholarships, get going on this also as soon as you been accepted.
Some sites:
http://www.studyabroadfunding.org/Italy/
Copies
Before you go, make sure to make copies of absolutely everything. You should make multiple copies of your passport, credit cards (both sides), Visa application, any extra form of ID, and your Permit to Stay once you get there. Make sure to have copies scattered throughout your room and in your luggage so in case you stuff does get stolen you can work around it.
Things Italy Doesn't Have
Cheddar cheese, burritos, good sushi, alfredo sauce....