Answer:
Marcy was listening to the Beatles song Yellow Submarine while she read William Shakespeare’s Othello.
Word that should be in italics: <em>Othelo</em>
Explanation:
In general, we can italicize phrases and words that are foreign, that refers to technical terms, to names of vehicles and for titles of major works like the name of a magazine, a newspaper, TVs and radio programs, books, novels, movies, works of art, albums and plays such as <em>Othelo</em>, the Shakespearean play.
However, we can not italicize parts or sections of major works, or shorter pieces, like chapter in a book, short stories, sections of a magazine or a newspaper, songs (such as the one mentioned in the sentence: "Yellow Submarine"), poems (except those that are very long) nor the the titles of long sacred works like the Bible and the Koran.