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, be harder to remember, and be harder to communicate verbally.
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