Matt Cutts has a great blog post about whether it is best to uses dashes or underscores. Answer: dashes. The best thing about the article was near the end: I've heard people say that more than two dashes gets you penalized.
That was awesome particulary like the part about ....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
I went to a Google university, and the Google people there said Google makes no difference beyween a space and a dash.
Thank you for the article. Just want to give a note that currently, Google is ranking the "+" between the words higher on my SEO test which can be seen on this query. Google no longer lists the underscore version in the test for some reason ... Some days ago hyphens was ranked first and then "+".