Choosing a dash or hyphen over and underscore has been discussed at length in the search engine optimisation space for a long time and the opinion from Google has changed over time:

• 2005: Matt Cutts wrote that you should use a dash instead of an underscore
• 2007: Matt Cutts said that Google were going to treat the underscore as a word separator just like the dash or hyphen, however it never made it into production
• 2009: Matt Cutts said that you should use a dash and that they may look at working on the underscore functionality again in the future.

The general guidance has remained quite consistent over time though, which has been if your site is well established and using underscores – not to change existing content. If you’re adding new content, by all means create it using hyphens as a word separator.

My personal opinion on the above only differs if you’re web site is within a highly competitive sector. If your site is about gambling, sex/porn or pharmaceuticals – then it could warrant a site wide change to give you any additional boost that you’re not already receiving. If on the other hand you’re not in a competitive space, it wouldn’t be worth the effort.