I find thoughts inside speech quotes to be incredibly distracting, because I have to spend time figuring out if the person is thinking or talking. So don't do that, whatever punctuation you use for speech.
Leaving thoughts inline is okay if they're kind of passim narration of a sort:
She ducked around the corner, but the man had disappeared. Where could he have gone? He didn't have wings. She sighed, holstered her gun, and pulled out her phone to call it in.
If the character's thoughts are really dialogue, or a monologue, you do have to set it off. I personally prefer italics.
She ducked around the corner, but the man had disappeared. Dammit, where did he go? I just saw him! How could I have lost him in two seconds? She sighed, holstered her gun, and pulled out her phone to call it in.
In your example, What have I done? is her direct thought, so this needs to be set off somehow. If you didn't want to do that, you'd reword it as:
It wasn't his look that unsettled her, however. It was the realization that her anger had vanished, and that what was slowly taking over its place within her mind was fear. What had she done?
For non-vocal communication, I have seen italics with additional non-standard punctuation, like double colons. Mercedes Lackey uses this for telepathy.
He reached out to his Companion. ::Where are you, Hayburner?::
::Right here,:: Tantris answered.
Voices from a distances are still voices speaking, so I would put those in regular speech quotes. Voices from radio/TV can be either regular speech quotes or italics at your discretion.
If you're worried about overdoing italics because you're using them for telepathy and for thoughts, for example, then rework your passages with thoughts so they're more narration and less direct monologues.
In any case, using italics for emphasis is entirely fine, no matter what else you use italics for.