[...]I remember how impressed I was that Google indexed numbers and some punctuation (come to think of it, search engines have come a long way in five years). With underscores, Google’s programmer roots are showing. Lots of computer programming languages have stuff like _MAXINT, which may be different than MAXINT. So if you have a url like word1_word2, Google will only return that page if the user searches for word1_word2 (which almost never happens). If you have a url like word1-word2, that page can be returned for the searches word1, word2, and even “word1 word2″.

That’s why I would always choose dashes instead of underscores. To answer a common question, Google doesn’t algorithmically penalize for dashes in the url. Of course I can only speak for Google, not other search engines. And bear in mind that if your domain looks like www.buy-cheap-viagra-online-while-consolidating-your-debt-so-you-can-play-texas-holdem-while-watching-porn.com, that may still attract attention for other reasons.