The answer to this question is pretty straight forward and simple.You should always use hyphens rather than underscores to create pages!
The reason for this is that Google recognizes hyphens as word separator's so for example's sake if you created a page called 'blue-watch-for-sale' as opposed to using blue watch for sale with underscores.
The reason why Google does not use underscores as word separator's is interesting,this story goes way back probably back to the days of machine coding where programmers would use underscores as visual separator's between words but fast forward to today if you were to use underscores between words within a page Google may in fact may view those words as one big long string of characters!
Now this may not always be the case ad you may have seen sites who use underscores rank well in Google,but this is not best practice!
What i recommend is that if you are building a new site or you are looking to make improvements then don't use underscores and if you already have a site that uses underscores i would recommend shifting to hyphens!
Now if you have got a huge site that uses underscore and is performing OK in the search engines,then it may not require any attention at all you may just leave it as it is!
But certainly if you go about creating new pages or in fact if you are building a new site then you should definitely be using hyphens!