What do you think the effect on search engine ranking will be if one uses an underscore in a domain name?
Underscores in Domain Names
While it may be perfectly valid by RFC 2181 (section 11) to have underscores in a domain name, you will not find any domain type i.e TLD, ccTLD or gLTD that supports registering domains with underscores in, you are therefore restricted to hyphens as an separator.
The DNS itself places only one restriction on the particular labels that can be used to identify resource records. That one restriction relates to the length of the label and the full name. [...] Implementations of the DNS protocols must not place any restrictions on the labels that can be used. In particular, DNS servers must not refuse to serve a zone because it contains labels that might not be acceptable to some DNS client programs.
You can however use underscores in the hostname, sub domain or URL but this is very subjective as its agreed that in most cases, the hyphen serves the purpose better, especially in the hostname environment.
Host names cannot contain an underscore (RFC 1123). This seems a bit counter-intuitive since domain names can contain underscores...but remember, the domain name is a label pointing to a series of records. Several of those records contain host names (A and MX for example). The records that contain host names can't use underscores.
IF your domain registrar let you create a domain name with an underscore, you wouldn't be able to add any valid host names to it, but you could add other types of records (TXT, SRV, CNAME, etc.). Since most people want to have host names in their DNS records, domain registrars won't accept domain names that contain an underscore.