Merriam-Webster Online Dictionary
www.m-w.com
Main Entry: 2underscore
Function: noun
1 : a line drawn under a word or line especially for emphasis or to indicate intent to italicize
The term "Underscore" is usually used when referring to the line that connects names or words in an e-mail address. It may not exactly be grammatical, but many understand what it means. However, I'm not sure if there's a more grammatical term for it.
A: Hey Billy, what's your e-mail?
B: It's billy_willy @ go.com (It's billy underscore willy at go dot com.)