Why do people say "la Giulia", "la Paola" etc.
I've been told this is considered incorrect, but everyone seems to say it anyway.
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Actually that is a dialect-driven form. For instance, in Parma (place where I live) we say "la Giulia" or "la Paola" - but this is only true for female names. However, in Milan, people say "il Giulio" or "il Paolo" (male names), but Giulia and Paola (female names).
Some dialects, especially in the North of Italy, use one of the two forms (or both). Some other dialects, especially in Southern regions, do not use any determinative article before proper names.