Technically, underscores are a violation of .NET conventions (or at least used to be -- see comment thread), but Microsoft programmers themselves often use underscores, and many examples in the documentation use underscores. I think it's very helpful to be able to see at a glance which variables are member variables (fields) and which are local. The underscore really helps with this. It also nicely separates private member variables from local variables in intellisense.
Please see this very useful page for .NET naming conventions:
http://10rem.net/articles/net-naming-conventions-and-programming-standards---best-practices
And here's a page with Microsoft's official recommendations:
https://msdn.microsoft.com/en-us/library/ms229045%28v=vs.110%29.aspx
