Here is quite an old Post of Matt Cutts(August 25, 2005): http://www.mattcutts.com/blog/dashes-vs-underscores/ Just for the reference that Matt Cutts prefer Dashes over Underscores.
I prefer hyphens, but not sure if it matters. Most websites use hyphens so that's why I do it. To be honest not sure if I've seen a website with underscores or dashes. Hyphens only
From an SEO perspective, it doesn't really matter. From the human reader perspective, dashes are far superior. They are easier to see (especially with many links getting underlined) and easy to type. The dash is just hitting a key, the underscore requires a two key combination.
Oh, it's only a suggestion. I'm glad it's not a rule. I've got lots of pages with underscores. What does it happen if I change those uscores with dashes? Does it affect pr and backlinks ?
Just make sure you have a redirect from the old URL to the new one. Otherwise, it won't cause any problems.
I think dashes, but simply because it reads more naturally, and I assume the search engines are all about natural reading