Can you tell me what species of insect this is?
This looks like a horsefly (family Tabanidae, in Italian "tafani"), maybe Tabanus bromius but I'm not sure. If it's so, be careful: they bite and their bite is painful. Here you can find some quick suggestions about horseflies and their bite. 

However, as you live in a city, don't worry too much: as the female horseflies feed on horse and cattle blood, they are normally present in the countryside, so those that you saw are exceptions more than the norm!