Hi Libbs,
Just came across your post. Unfortunately, no one kept track of immigration or passenger lists during that era.
You may know this already, but in order to do research in Italy, you must first determine your ancestor's commune (town) of origin, because there is no central BMD database, as there is in the UK.
You can get some good general info about the various waves of 19th century Italian immigrants on the Anglo-Italian Family History website:
www.anglo-italianfhs.org.uk. As this site explains, the Italians tended to come from certain regions depending on their occupation, so you might get some clues if your ancestor's occupation is listed on any census records (i.e., barometer makers, gilders, craftsmen generally came from the province of Como, etc.)
If your ancestor's UK records (BMD or census records) don't indicate the place of birth (unfortunately, this is typical for records from the early to mid 1800s), it can be very difficult to go back further. Don't forget to check the UK National Archives for a will or naturalisation papers (I've seen a few naturalisation records from as early as the 1840s):
http://www.nationalarchives.gov.uk/search/advanced_search.aspx?You can check the following websites to get an idea of the current geographic dispersion of your ancestors's name in Italy, which could yield some clues:
http://www.gens.labo.net/en/cognomi/ - type in the surname in the "cognome" box on the left to see which provinces the name is found in
http://italia.indettaglio.it/eng/ - type in surname on the left and then choose a region/province to drill down to specific communes (towns) where the name is found
Lastly, I would suggest checking out the website:
www.italiangenealogy.tardio.com - *lots* of excellent information there. Plus, if your ancestor's name is not too common, the regulars there might be able to give you more detailed suggestions, or, you might just connect with someone else researching the name.
Best of luck,
Janet