At least in English, typographic conventions have historically equated underlining with italics, and the reason the underscore key is present on your keyboard is because it was used on typewriters to format text that would have been italicized in printed text.
Surrounding text with underscores to indicate italicization is intuitive to anyone who is familiar with that convention.
Personally, I find surrounding text with forward slashes exactly wrong for italicization, because I mentally apply a skew-transform to the text to make the slashes into vertical lines, which leaves the text itself slanted in the wrong direction. Backslashes would make more sense, and also avoid looking like regular expressions. But literally no one uses that convention and we do not need a new one.
