SEO: Hyphens vs Underscores in URLs
SEO Tip: Use Hyphens or Underscores in URLs
Hyphens are often better than underscores
Hyphen: african-elephants.html is seen as two words: "African" and "elephants".
Underscore: african_elephants.html is seen as one word: "african_elephant".
This comes from Google's Matt Cutts and Vanessa Fox. It is a pretty universally accepted format. My question and read of this is: If you have african_elephant.html does it see it as one word being "african_elephant" or "africanelephant"?
Something more applicable to this would be sitemap.html, site-map.html, or site_map.html. The first two are generally used by search engines to find a site map, but is the third one included?
To conclude, you can stick with concatonating words together or use hyphens for most everything. Underscores should be used sparingly or for numeric names.