Please see here, under "Main Body," for the basics!

Briefly, though:

  • The titles of shorter works, usually ones that are part of larger works (like short poems, short stories, articles, essays), are generally given in quotation marks.
  • The titles of longer works, usually ones that are self-contained wholes (like novels, long poems, collections of poems, plays, periodicals, anthologies, movies, websites), are generally italicized.

So, "Simon Lee, the Old Huntsman" is a poem in Lyrical Ballads.