Underscores aren't legal in domain names, so those are out.
Google gives an edge to com/net/org domains which exactly match the target keyword, without hyphens.
Hyphens ruin the exact match bonus. Other than that, hyphenated domains only other downside is that humans don't like them -- so they are harder to brand.
Of course, when you buy a site you are normally paying a multiplier of revenue -- so these advantages and disadvantages will automatically be factored into the price.