Why doesn italics work with (for example) Lucida Grande?
OS X actually uses different fonts for Bold, Italic, etc. for higher quality (older computers ‘faked’ these by adding slant or weight). But not every option is represented for every font. Sometimes, you get a lot more options. Check out Helvetica Neue as an example. Note that you can change the font style of selected text easily through the drop-down menu in Bean’s Inspector.