Found this one by accident. But it's very easy to do.
Step 1. Add a text widget at the top of the sidebar.
Step 2. Under options ---> writing, uncheck the box 'WordPress should correct invalidly nested XHTML automatically'
Step 3. Leave a format command open - e.g. add <em> but forget to close with </em>
Step 4. er, that's it.
Some examples:
here's with: http://thepriceoflove.net
and without: http://roadsofstone.com
I quite like the lighter style that italics gives to cutline, although it took me some time to work out how I did it.
This method also works with bold text <b> and as far as I can see it changes everything in your sidebar - even the tag cloud if you have one - except for the 'Recent Comments' field.
If that's true, then it probably works with other format styles as well - hey, you could go wild and do extra large chartreuse green ComicSans. Or even Webdings. Or maybe not.
Have fun!