I’m not sure what your question is. The standard style guides provide methods for citing online and offline information; you can use a form like,
Calibre, E.X. 2005. *Things I've Found In My Bellybutton*. London, Insant Rant Publications, Inc.
just as well online as on paper. That would be a citation for a book, but there are established standards for academic citation of websites as well. If you’re asking whether there’s any kind of formal standard for citing things like band names, no, there’s not (though of course “standard” is misleading, as there are several different styles of citations in academic use and different fields tend to have different preferences.) I’m pretty sure a song title should just be in double quotes, as in:
I was listening to The Beatles' "Helter Skelter" when I realized that my bellybutton lint was a message to slaughter all humankind.
The specifics vary depending on what citation style you’re using. But if you’re asking whether there’s a specific different set of rules for citing things online, no, you use the same methods you would use on paper. And for inline references, book titles are in Italics, article, essay, and short story titles are in “Double Quotes”, and so on. I would assume an album, as a complete work, would go in Italics as well. I don’t think band names should be specially marked at all, as there’s no special marking used for authors of written works or artists in other media.
And you don’t use underlining ever, for anything. Underlining can only be legitimately used as a substitute for italics when they are not available (specifically, on typewriters, since obviously folks didn’t have italics handy back in the bad ol’ days. And in handwritten material, although worrying about citing works when writing by hand seems silly.) Plus, on the web, underlining is confusing since it’s ordinarily used to identify hyperlinks; you add visual clutter and detract from their normal significance when you use them willy-nilly.