When learning the days of the week, I find it helpful to understand where the names come from. (In Russian, this ended up being super-easy.) In Italian, it's a little different, but I still think it's helpful, and it's also fascinating to learn a little about the Italian language's Roman roots.
Sunday - Domenica
The word domenica comes to us completely unchanged from its original Latin form domenica, meaning "day of God".
Monday - Lunedì
Just as the word "moon" is reflected in the name "Monday", the Italian word lunedì comes to us from the Latin lunae dies, or "day of the moon."
Tuesday - Martedì
The name martedì is derived from the Latin name Martis dies, or "day of Mars."
Wednesday - Mercoledì
The word mercoledì comes from the Latin name Mercurĭi dies, for "day of Mercury."
Thursday - Giovedì
By Jove, the name giovedì does come from the Latin Jove dies, or "day of Jove" (aka Jupiter).
Friday - Venerdì
The word venerdì is named for the Roman goddess Veneris (aka, Venus), and comes from the Latin term Venĕris dies.
Saturday - Sabato
And finally, sabato is derived from the Latin word sabbatum, which itself comes from the Hebrew word shabbat, meaning "sabbath" or "seventh" day.