While \bm and \boldmath are some good options in LaTeX, modern packages for XeLaTex can give a lot more control over the fonts from the very beginning, without the need to use commands different from the standard \mathbf that every one expects naively to work the first time one tries to write bold italic characters.
In XeLaTeX (part of TeXLive), the package fontspec gives a lot of freedom when dealing with fonts. If you want even more flexibility for mathematical input, you can try using the package unicode-math (that is built on fontspec). Nevertheless you will find the \bm and \boldsymbol traditional commands don't work. You can nonetheless specify how you want it to deal with your bold math symbols using an option while loading the unicode-math package. \usepackage[bold-style=ISO]{unicode-math} will give the recommended italic bold math symbols for both greek and latin characters, while \usepackage[bold-style=TEX]{unicode-math} will give upright latin characters. This is explained in the unicode-math documentation .
This minimal working example:
%run this with XeLaTeX!!
\documentclass{article}
\usepackage[bold-style=ISO]{unicode-math}
%\usepackage[bold-style=TEX]{unicode-math}
\setmainfont{XITS}
\setmathfont{XITS Math}
\begin{document}
This is common math $O(\log n)+O(\lambda,\,\epsilon)$
This is bold and italic $\mathbf{O(\log n)}+\mathbf{O(\lambda,\,\epsilon)}$ where it must :)
\end{document}
gives

\mathbf} with computer modern fonts uses the fontcmbx*which is an extended font.\boldsymbolorbmuse the onlycmfont that is usually available in bold,cmmib10, which is not an extended font. thus the bold greek letters are indeed not as "bold" as the roman. – barbara beeton Aug 26 '12 at 21:45