That's interesting, jigjag, thanks. It is always written the Oval in its cricket reports and it's written so in Brewer's Dictionary of London Phrase and Fable. That book also reminded me that it's sometimes called Kennington Oval and that sounds much better to me than the Kia Oval.
As for the Times and The Times, opinion is divided on that in style guides. I can live with both but I prefer the former as The seems more obtrusive.