Filenames such as (for instance) photographer-place--year_month_day-filename.cr2 are exported by Lightroom 3.4.1's Develop module correctly, without change, into jpg versions. However, Lightroom's web module forces a conversion eliminating the dashes and replacing them by underscores, even converting two dashes into one underscore in the process. TTG Highslide Pro (which I use with LR) states on its website that this is built into the Lightroom web module, and recommends entering one's wishes in the "File Handling" tab within Lightroom Preferences.
However, my own LR preferences include the standard File Name Generation option "Replace illegal file name characters with: Dashes (-)" so this would indicate that a dash is not regarded by Lightroom as illegal and therefore should be left alone, as is in fact the case on a normal export from a raw cr2 to jpg: no change in Lightroom and therefore no problem. But export via LR, via TTG oor via LR's own web templates, causes an unwanted conversion from dashes to underscores. The preferences entered under LR's Edit - Preferences - File Handling - File Name Generation are apparently ignored by the web module.
Using dashes (or "hyphens") gives me no problems whatsoever in any application or use in web galleries and I am happy with the names generated automatically by specific third-party software which is more flexible than LR with file renaming. Hopefully it will not be too difficult for LR's programmers to allow exporting files through the web module without being renamed in the process, if one so wishes.