Military records can be a useful tool when researching male ancestors. Even if your Italian ancestor did not serve in the military, he might have had to fill out a draft card when he turned eighteen. This was true in WWI, when all males born from the late 1800s to 1900 were required to register with the military. Even men born on foreign soil were required to register for the draft.
You probably won't find much information on a draft card. However, the cards did include the registrant's birthplace, and sometimes the name of a close relative. An article at the Italian Genealogical Group's webpage shows what you can expect to find for particular age groups: http://www.italiangen.org/igg011.stm
Rootsweb has put some of these Draft Registration records online. You might try running your ancestor's name at http://userdb.rootsweb.com/ww1/draft/sea... Don't worry if it's not there, though. My relatives aren't. The database only contains the records for 15 percent of US counties (and it seems as if most of NYC is included). You can also find these records via LDS.
If your ancestor did serve in the US military, you will be able to find his service records, which might list such things as awards and other personnel information. These are not only interesting from a personal point of view. They can also contain genealogical information, although it will be similar to that on the draft card.
The best military records, from a genealogical point of view, are the pension records. Again, the information in these records will vary according to the year and person. Since it takes more effort to get benefits for serving your country than it does to sign up to fight for it, genealogists will find a plethora of information. These documents usually give information about the veteran's family, his wife and children, and sometimes a medical record, which can be useful if you don't know much about your family's medical history.
For more information on military records, take a look at the Access Genealogy Military Records webpage: http://www.accessgenealogy.com/military/ This page explains what you can expect to find and how to go about getting your hands on it :)
I'm not sure if all states have this or not, but there are two large volumes that list every person from Maine who participated in WWI. You might ask your local library or historical society if they are aware of such a book, for that war or any other. It's one way to determine whether or not your ancestor served in the American military. Other ways include looking at the census and local newspapers (if your relative lived in a small town).
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