Bold italic vectors

It depends on the math font, but the bm package can handle most of them. The usage is then $\bm{y}$

There is also \boldsymbol{} from the package amsbsy (loaded by amsmath). See this question for a discussion of the advantages and disadvantages of each command.

What I did, is to declare my own command for a vector, well its pretty basic, but you can add other features, like an arrow.

\newcommand{\vect}[1]{\boldsymbol{#1}}

And the usage:

\vect{X} = \left[x_1,x_2,\ldots,x_n \right]^T

returning: