This might be the theorem scheme that you're after, called mytheorem:

\documentclass{article}
\usepackage{lipsum}% http://ctan.org/pkg/lipsum
\usepackage{amsthm}% http://ctan.org/pkg/amsthm
\makeatletter
\newtheoremstyle{mytheorem}% <name>
{3pt}% <Space above>
{3pt}% <Space below>
{\itshape}% <Body font>
{}% <Indent amount>
{\itshape\bfseries}% <Theorem head font>
{.}% <Punctuation after theorem head>
{.5em}% <Space after theorem heading>
{\thmname{#1}\thmnumber{\@ifnotempty{#1}{ }#2}%
\thmnote{ {\the\thm@notefont(#3)}}}% <Theorem head spec (can be left empty, meaning `normal')>
\makeatother
\theoremstyle{mytheorem}
\newtheorem{theorem}{Theorem}
\begin{document}
\begin{theorem}\lipsum[1]\end{theorem}
\end{document}
The key here is to include a theorem head specification (argument #9) in order to reformat the theorem number from \textup (or \@upn) to plain. Here's the default definition of the theorem head specification (associated with the plain style):
\def\thmhead@plain#1#2#3{%
\thmname{#1}\thmnumber{\@ifnotempty{#1}{ }\@upn{#2}}%
\thmnote{ {\the\thm@notefont(#3)}}}
Note the forced \@upn (defined as \textup).
\itshapeto\itshape\bfseries(and other settings accordingly). But first of all: why on earth would you want to do that!? – mbork Jun 30 '12 at 11:45