I did a bit of googling on this a few months back and the general consensus seemed to be that hyphens are preferable to underscores, although it was not worth changing if your pages are already indexed by google as the change in name we will result in a change in url.
I now use hyphens on all new page names where required.
I always use "-". I read an article on one of google's pages once and they say they prefer hyphens.
I've asked actinic if this can be altered in the past, or at least user defined, but it's too deep down to be edited by users and I doubt it's high on the Wish List.
The two are treated differently. A hyphen is seen as a separator so the two (or more) words are seen as separate. An underscore isn't so the two words (or more) are seen as one big long word (although Google will see the keyword in the long composite word anyway).
It probably won't make much difference either way, but you might want to think about what people search for. For example:
Elephant-Skin.html would have the keywords 'elephant' and 'skin' in it.
Elephant_Skin.html would be seen as 'ElephantSkin.html' and would have the keywords 'elephant', 'elephants' and 'skin' in it.
At the end of the day just pick one and don't worry about it. The best advice though is to just do what google recommends and use a hyphen unless you have a good reason not to.
i used unerscores for years and now its a little late to change as everything is indexed well anyway so changing would be a problem for me, but as to the benefits it would be hard to really tell
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