A Bing Community thread has Bing's program manager, Brett Yount confirming that Bing prefers hyphens in the URLs as a word separator.
He said:
Hyphens are the preferred character for separating two words in URLs.
Google also uses hyphens as word separators so it is a good thing to know both engines handle them pretty much the same way.
Nothing ground breaking here, but a solid SEO point to have in your toolkit.
Forum discussion at Bing Community.

Comments:
Adriana Smith
04/02/2010 07:38 am
From SEO point of view tts good to have hyphens in the URLs. But still your company is using underscore for deep page urls http://www.rustybrick.com/services_content_management.php