You can use only:
\b = Backspace
\f = Form feed
\n = New line
\r = Carriage return
\t = tab
\000 = octal character
\x00 = hexadecimal character
\u0000 = hexadecimal unicode character
So, you can insert different ASCII characters, but not format them (like italic or bold).
EDIT I also have to mention, that in fact alert acts like toString conversion, so including tags and/or styles is not possible.