Also varies by region in the US for referring to highways. In Southern California it is usually "the I-5" while on the other coast you will hear a plain "I-95".
In Northern California it's also just "5" "880" etc. We can pick out Southern Californians by their use of the pronoun.
If you want to show your geographical sophistication within California, you can safely refer to "80" (I-80 passes through only the northern part of the state) and "the 10" (which passes only through the southern part). As for "5" vs. "the 5" just make sure that if you're heading south you've switched by the time you reach the Grapevine (q.v.).
I'm not sure where the N/S dividing line is, though. Any HN readers from Bakersfield or Coalinga?
In Colorado, people tend to say "The I" and the automatic assumption is I-25. At least if you live on the front range anyway, which 80% of the state does.