SEO Tip #17: Should I use underscores or hyphens in URLs?
Matt Cutts: It does make a difference. I would go with dashes or hyphens if you can. If you have underscores and things are working fine for you I wouldn’t worry about changing your architecture.
A while ago I said we were looking at underscores as separators and the reason we typically never talk about stuff in the future is that gives us the freedom to change our mind. In fact the people who were working on that project worked on something slightly different from underscoring in the url that was actually higher impact and a much higher win, we might still get around to that so thanks for the ping.
I might ask somebody on our quality triage team if we can take a fresh look at this, but for the time being hyphens or dashes are treated as separators and underscores are not. That might change in the future but that’s the way it stands right now.