Unfortunately, Magento doesn't include Italian provinces in their default database: that's why I wrote a simple script to take care of that.
$ ./load_provinces.py provinces
Be sure to run it only once, otherwise you'll get duplicated provinces in the database.
There is some commented code you should decomment if you want to test the script before actually touching the Magento database.
Also, you need to change the "user", "psw" and "dbname" parameters, and might need to change the "host" and "port" too.
Now, I need to understand how to require address input at the registration page. ARGH.