The easiest way would be to get it by descent – you may not have realised that if you have a parent, grandparent, great-grandparent or other ancestor that is a citizen of an EU country, you might be able to get it on those grounds.
If none of your ancestors were from an EU country, then the other way is to naturalise. You will have to live in the country for a certain amount of years to be able to get it.
Wikipedia is great for nationality laws, just type in “Italian nationality law” or “French nationality law”, for example.