Since the URL keys are used to create SEF friendly URLs, I prefer that all my competitors use underscores. It helps damage their SERP ranking.
Per Google, you should use hyphens for word separators in URLs. Google treats hyphens as word separators, similar to white space and allows links to help with keyword results. Underscores are treated as word joins or worse and can prevent the link text from contributing to optimizing the search engine results.