We recommend that you follow Google's advice and use dashes. However, Matt Cutts once mentioned that you shouldn't change the URL that includes underscores if the page performs well in search engines.
Traditionally, Google has considered the underscore as a true character rather than a separator. This is because some technical keywords contain the underscore character, like "mod_rewrite" or "_blank."
The keywords in a URL separated by dashes are seen by search engines as two words. For example, dash-underscore.html is seen as two words, "dash" and "underscore." In contrast, dash_underscore.html is seen as a single word, "dash_underscore." Notably, it's doubtful that many people will be searching for that phrase.