It seems the right place since the topic is about how domains work in SE's...
Underscores don't work in domains. You won't be able to register a domain with an underscore. Filenames yes, domains, no. Hyphens work fine.
Is it better to separate? Actually the shorter the better. If you want the name to catch on, people have a hard time remembering to hyphen. If you only want to use one or the other, I'd go with non-hyphenated domains with as few of words as possible.
I've noticed Google sees keywords in domains even when words are together and not hyphenated. I see this because the word is highlighted in the result listing.
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