A good rule of thumb is never use underscores for anything, not urls, file names, etc.
Obviously underscores are required in programming environments which I don’t know much about, but for everything else, always dashes (hyphens).
As far as image names go, it does make a difference in the actual file name, pink-ponies.jpg (which is descriptive of the image) is far superior to something like 0000012532423000.jpg which provides no relevance.
Underscores are seen by search engines generally as “word combiners”, and hyphens are seen as “word separators.” Scott was right, never use underscores for anything. You can make a sure bet that this issue reflects one of the many, over 200 factors that Google takes into account when evaluating your website. They’ve inadvertently stated this in the past, even Matt Cutts has stated plenty of times himself not to use underscores.