Don't use italics
One thing I was taught as a writing student was to avoid italics for direct internal monologue, and simply let the "he thought" or "she thought" or other similar clues in the text alert the reader to the originator of the monologue. When we as writers start using punctuation like italics to do our work for us, it can tend (though this is not always the case) to cause us to be lazier with our words themselves. We should be able to convey a thought to our readers without the extra punctuation in the form of italics.
It's going to depend on narrative POV
When expressing a characters thoughts, some of how the expression is formulated will be based on point of view. In the first person singular point of view you are always expressing the thoughts of your narrator and never directly expressing the thoughts of other characters (although your narrator may guess at them). A first person plural point of view wouldn't necessarily ever get to direct thoughts of an individual, as it would be expressing what a group thinks. A second person point of view also wouldn't show direct thought, unless it purports to show the reader's thoughts. This contributes to it's rare use in storytelling. A third person omniscient or limited narrator can dive into heads (depending on which heads the narrator is allowed to dive into) with impunity. This contributes to the popularity of the third person narrator.
Use indirect internal monologue for longer thoughts
Direct internal monologues in a third person point of view should be used only for short statements. To try and use them for long descriptions of a character's thoughts will require either over-using he/she thought and similar phrases or allow for the reader to get lost as to who is thinking. On the other hand an indirect form of internal monologue can span paragraphs because it weaves into the storyline better.
Use direct internal monologue for emotional impact
What indirect internal monologue lacks is a really strong connection to the character who originates the thought. For situations where you want to strongly associate a particular thought - especially the emotions and volition that goes with it - with a character, go direct. Just don't do this too often, or it will lose its force.
Note for those who enjoy defying rules amongst us - these are simply guidelines of what I believe each form is likely to do to a reader, rather than hard and fast rules that I am attempting to impose