The Bible, books within it, versions of it, and other sacred writings are the exceptions to the rule: these are books you do not underline or italicize (New Testament, not New Testament; Koran, not Koran).
Inside the paper, when quoting directly from the Bible, offer parenthetical citations: not author and page (God 2307), but book, chapter and verse (Genesis 2:4). MLA recommends a period between chapter and verse (1 Chron. 13.2) but acknowledges that the colon is customary. Check the MLA Handbook for proper abbreviations of other books within the Bible. Typically, when you cite scripture within the context of a paper, if you are using the King James translation or the RSV (Revised Standard Version), you do not need to include the Bible in your Works Cited list. Other versions, however, would need such documentation. The following list shows correct format for a variety of related sources.
Genesis. In The Norton Anthology of World Masterpieces, Volume I. 6th edition. NY: W.W. Norton and Co., 1992. 49-69.
Harris, Stephen L. Understanding the Bible. 3rd ed. Mountain View, CA: Mayfield Publishing Co., 1992.
The International Standard Bible Encyclopedia. Ed. William H. Gentz. Nashville: Abingdon, 1986.
The New English Bible. NY: Oxford University Press, 1972.
The Oxford Companion to the Bible. Ed. Bruce M. Metzger and Michael D. Coogan. NY: Oxford University Press, 1993.