I used to use underscores all the time, now I only use them for parts of a web site that I don't want anyone to directly link, js files, css, ... etc.
From an SEO point of view, dashes seem to be the preferred way of handling it, for a detailed explanation, from the horses mouth http://www.mattcutts.com/blog/dashes-vs-underscores/.
The other problem that seems to occur, more with the general public than programmers, is that when a hyperlink with underscores is underlined, you can't see the underscore. Advanced users will work it out, but Joe Public probably won't.
Still use underscores in code in preference to dashes though - programmers understand them, most other people don't.