The easiest way is with xparse:
\usepackage{xparse}
\let\oldmarginpar\marginpar
\RenewDocumentCommand{\marginpar}{om}{%
\IfNoValueTF{#1}
{\oldmarginpar{\mymparsetup #2}}
{\oldmarginpar[\mymparsetup #1]{\mymparsetup #2}}}
\newcommand{\mymparsetup}{\itshape}
In the \mymparsetup command you can put all customizations you want. In this way we can keep the behavior with the optional argument to \marginpar.
The method with \let\oldcs\cs can often lead to unexpected results, when \cs has an optional argument or it's defined with \DeclareRobustCommand. However the kernel provided \marginpar is none of this kind; indeed
texdef -t latex marginpar
answers
\marginpar:
macro:->\ifhmode \@bsphack \@floatpenalty -\@Mii <...rest omitted...>
so we see that it's a parameterless macro and, as it often happens with LaTeX, the management of arguments is done later by other macros called by (the expansion of) \marginpar. Thus, in this case, we can safely do as shown before.