Spaces, Underscores and Dashes

From Coding Horror, a summary explanation of choosing between spaces, underscores, and dashes:

So it behooves us to use something other than a space in file and folder names. Historically, I’ve used underscore, but I recently discovered that the correct character to substitute for space is the dash. Why?

In many contexts it seems that the underscore is actually treated as a word character, combining rather than separating words. He has some interesting examples using \w in regular expressions. His examples are from RegexBuddy, but you might also look at Regex Coach which is free.