Here’s an interesting article about naming files for the web: http://www.ragepank.com/articles/50/spaces-underscores-and-dashes-how-to-name-files/
It seems that dashes may be the best way to separate words in a URL. A dash provides better readability than an underscore. Spaces are a bad idea to use because they turn into %20 in a URL and can be misinterpreted by some browsers.
Here’s another article about spaces in filenames and why they should be avoided in web content: http://www.blackbaudknowhow.com/blackbaud-sphere/spaces-in-filenames-and-why-you-should-avoid-them-on-the-web.htm