When are you intending to take the trip?
In JAN/FEB you can go wherever you want from Switzerland to Italy, snow is almost guaranteed.
/APR thing look a bit different though....
I would recommend flying into ZRH
, spending a day or two in the city, then take a SBB mainline train to Chur and onwards by an RhB (www.rhb.ch) operated narrow gauge train to St. Moritz. St. Moritz is nice, but you can easily spend quiet a bit of money there... Well, actually you rather "have to" spend a lot of money instead of "can" (Once paid 40+EUR for a cordon-bleu there...).
It is also possible to stop in Chur for the night. It might even be possible to make the whole trip from Zurich in a day, but that's hell of an early start then...
Or you can sleep anywhere in between or around St. Moritz, just be sure to check the shedules.
Anyway, the next take the "Bernina Express" to Tirano in northern Italy. It is leaving Chur at 08:57 a.m. every day. When travelling from St.Moritz you'll have to change trains in Pontresina, but your train isn't departing before 10:45 a.m. which is a big plus
The train will then take you via Alp Grüm to Tirano, Italy. The highest you'll get is Ospizia Bernina at 2.253 metres above sealevel.
Tirano is reached at around 1 p.m. where connections to Tranitalia mainline trains to Milano are available (IIRC every two hours, taking something between two and three hours for the trip. Spend some time in Miland and fly back from there, or take a mainline train back to Zurich (Try to avoid "CIS" trains (If that's still possible)).
Another scenic ride is the trip to Zermatt, but that's not Italy...
Hope I could help a bit, if you've got any questions, just ask.
Ah, almost forgot:
EDIT: Ok, so i finally found out that you already specified your dates... The above still applies... and rocks!
[Edited 2009-10-22 04:15:15 by dba4U]