Hostnames with underscores cause problems in Internet Communications
The Internet standards for protocols mandate the component hostname labels may contain only the ASCII letters 'a' through 'z' (in a case-insensitive manner), the digits '0' through '9', and the hyphen '-'. The original specification of hostnames in RFC 952, mandated that labels could not start with a digit or with a hyphen, and must not end with a hyphen. However, a subsequent specification in RFC 1123 permitted hostname labels to start with digits. No other symbols, punctuation characters, or white space are permitted.
While a hostname may not contain other characters, such as the underscore character '_', other DNS names may contain the underscore. Systems such as DomainKeys and service records use the underscore as a means to assure that their special character is not confused with hostnames. For example, _http._sctp.www.example.com specifies a service pointer for an SCTP capable webserver host (www) in the domain example.com. Note that some applications (e.g. IE) won't work correctly if any part of the hostname will contain an underscore character.
More information about "Internet Hostnames" can be found at http://en.wikipedia.org/wiki/Hostname