You can use html / css-like styles, i.e. just wrap the text inside the tags:
item.setData( QtCore.Qt.UserRole, "<b>{0}</b>".format('data to store for this QListWidgetItem'))
Another option is to set the font role:
item.setData(0, QFont("myFontFamily",italic=True), Qt.FontRole)
You may need to use QFont.setBold () in your case. However, using html formatting can be more flexible.
combo-box setItemData():
combo.insertItem(0,"yourtext"))
combo.setItemData(0,"a tooltip",Qt.ToolTipRole)
combo.setItemData(0,QColor("#FF333D"),Qt.BackgroundColorRole)
combo.setItemData(0, QtGui.QFont('Verdana', bold=True), Qt.FontRole)
-, afaik.