When you need to make something seem very important, bold seems to be the right choice.
Italics can be used for foreign words like the Greek týpos — „reflection, form” and gráphō — „I am writing”, which form „typography”.
It is rather rare to use underlined text as this stands out very much and should be used with extreme caution.
There are also situations when you need to remove something, for example during collaborative editing. The strikethrough is a right choice then.
If you are dealing with software development, having the option to mark inline code like printf("hello, world\n");
is also very useful.
There are also subscript and superscript types that you may utilize in chemistry or in math related texts where you have things like H2O or x2.