Wikipedia:Naming conventions (use English-language sources)
Wikipedia:Naming conventions (anglicization)
If you are talking about a person, country, town, movie or book, use the most commonly used English version of the name for the article (as you would find it in other encyclopedias). This makes it easy to find, and easy to compare information with other sources. For example, Christopher Columbus, Venice. If there is no commonly-used English name, use an accepted transliteration of the name in the original language. Languages like Spanish or French should need no transliteration, but Chinese names can use Pinyin, for example.
The body of such an article, preferably in its first paragraph, should list all of the other names by which the subject is known, so those too can be searched for. You can even include its name in a native written language with Unicode characters, as well as Roman transliterations. For example, the Beijing article should mention that it is also known as "Peking", and that both names are transliterations of the name 北京. It is also fine to have multiple articles which are redirected to the main article, for example Sverige could be a redirect to Sweden. Alas, the software won't allow "北京" as a title.
Some cases are less clear-cut. There is a trend in modern news media and maps to use native names of places and people, even if there is a long-accepted English name. For example, American newspapers generally refer to the Olympics in "Torino" even though most English texts still call the city "Turin". One should use judgment in such cases as to what would be the least surprising to a user finding the article.