There has been long discussions going among different Search Specialists regarding which one is better to use in the URL optimization process either Underscores are better or the Hyphens or Spaces?. To find out this i have run a simple experiment
On Google SERPS
1) xml sitemaps generator
I could find out that there is no significant differences in either using spaces or hyphens or underscores in the urls for the above three results. Interesting point to note here is that underscore parsing seems to be showing only few results on Google SERP's in 3 case, probable reason behind this might be people not using any underscores in their URLS (according to my opinion)
4) xml sitemaps generator
Similar search on live showed that even here it doesn't show any major differences in using either space or hyphen or underscore. An interesting point to note here is that if we could compare the results of 3 and 6 from Google and Live, we could observe that Google performing better than Live in showing the results as in Google we can find a result with an underscore where is in Live we cant observe any such.
You can run a similar experiment on Yahoo! and find the results