I remember seeing such a word before, but I can't for the life of me remember what it was. I'm googling and having no luck.
The classic web comic Pokey the Penguin used this technique quite a bit.
Bold and italic and underline are all examples of typographical emphasis. Others include (but are not limited to) strikethrough, overlining, changed font and size, capitalisation and letter spacing.
Although bold, italic and underline are the most common, they are not often used in combination, so I don't think there's a special word or phrase for it.
I'm not sure about the italicized part, but this source calls the kind of balloon and bold and underlined words used to indicate screaming dialogue a burst balloon (in contrast to a radio balloon for more normal dialogue):