Not long ago I actually did come across a site that had an underscore in its domain name, and it worked both for me and apparently Google, because it indexed and showed a (relevant) page from that site. I only remembered it was on a *.tripod.com subdomain, and can't find that exact site now since I don't remember what I was searching for (it was a highly obscure and technical topic), but there do appear to be others there with underscores, e.g.:
http://computer_collector.tripod.com/
