This has always been a topic of discussion in relation to SEO and building websites. I have always thought it was important, but not critical to use hypens instead of underscores in a URL.
However, since it is so easy to solve I have always recommended using hypens and not underscores as seperators. If you use WordPress it automatically uses hypens as it’s main separator so you can let it build your “slug” for you.
Here is the latest video I could find of Matt Cutts explaining it again. And I think he does a great job of not only explaining how it works, but why it works.