i go for italy, but only when i am going usa atlantic 100% with intent to land in italy.
one of the downsides of bombing italy, is that they usually only produce 2-3 units per turn. so to make your bombing effective, you have to deal at least 6 damage, since they can just shrug off the first 4 damage.
however, if you have 3-4 or so total bombers between the usa and uk (easy if none get shot down), then italy is in a world of pain and can only build like 1 infantry per turn.
do a turn 4 or 5 landing with 4 or so transports full of american guys, and well… thats basically my allied strategy right there.