If you're doing informal writing, italics or bold would be sufficient. It's good to be careful with all caps because, in social media and email it indicates yelling. Changing the size of the font would have the same effect. Underlining has come to indicate a link so I would advise against that. When texting you can use an asterisk on either side of a word like *this*. If italics are available, that's always best.
Some people say that if you choose the right words you shouldn't need to visually cue the reader as to which word is important.