I don't think I've ever seen an underscore in a url.
As for hyphens, it comes down to situation I think. I think you should try to avoid using one (don't use more than one) but if the only way you can get your forum name/keywords into the url, a hyphen isn't all bad.
Hyphens would be better but I think it wouldn't make much of a difference which one you use in terms of SEO. Other factors such as quality of content is much more important.