The 'dash' is the way to go for web page names

Your choice of using a dash, an underscore or a space to separate the words making the name of one of your web pages can have a dramatic and long lasting impact on the visibility of the resulting pages in the search engines. The Separator Debate when naming web pages has been a hot topic on the net since 1999. More than ten years later the debate rages on; even though most search engines have built in rules that can easily handle any of the three options.

Naming a Web Page
Based on my research, I recommend that the dash should always be used in preference to underscores or spaces when naming a web page.

This advice is in line with the consensus of SEO experts on the web.  Ignore advice that says it makes no difference to the modern search engine, because it certainly does!

URL Encoding
When you use one of these characters in a page name, the page name gets converted to a URL in a process called encoding.

The URL encoding process is subject to certain rules. These rules are specified in the RFC entitled RFC 1738: Uniform Resource Locators (URL) specification. This defines that only the characters below are allowed to be used in an URL:
-  A to Z 
-  numeric characters 0 to 9 
- and these special characters: $-_.+!*'(),

Why Not a Space?
All characters not mentioned above are modified (encoded) in some way before being added to a legitimate URL.  A space is thus routinely encoded as "%20". Thus a page name like: "The Main Event" will become "The"%20Main%20Event".

This is not easy on the eye and you have to rely on a search engine to remove the spaces in order to come back to your original title. Also note that sometimes an extended series of spaces can result in some dropped characters.
This is why the space character is a not a good choice.

Why Not Underscores?
Basically the search engines treat a dash as a space and an underscore as a hard character.

Google will preferentially not search on a word with an underscore

Try this search in Google:  Cheap_Viagra (The words are separated by an underscore).
Google automatically does 3 distinct things:

1. It asks if you have made a spelling mistake and actually meant to say Cheap Viagra
2. It spits out results for the each word split by a space.
3. On then does it give you results using the underscore as originally entered.

Thus, despite the fact that Google has some tolerance for the underscore, our simple test shows that there is definitely some distaste for the poor underscore. Because even though we have asked for it we get the results for it last and we are suspected of making a typo to boot!

The same test in Bing returns a simple result with the underscore removed.

Why Dash?
Try the test above but use a dash instead - Google: cheap-viagra
Google does not hesitate, it goes simply splits the word, ignoring the dash completely. Also notice no question to check if we made a spelling mistake and no alternate listing that includes the dash.

So based on the above and some additional backup (see below), do yourself and your website a favour and make the dash a habit.

GoogleGuy famously said during a debate thread titled Hyphen or Underscore?  on WebMasterWorld , way back in the year 2002: "I would go with hyphens, personally." Back then GoogleGuy, as a Google employee, was the semi official voice of Google. So this was taken as a rock solid vote for hyphens.

I would believe the GoogleGuy and would stay away from underscores and spaces in web page names.

Use the dash when you have long page names that need separating.