I think this qualifies as a FAQ, and Daniel's answer is a good one.
Daniel, I hope you don't mind that I added it to the FAQ page on the wiki:

http://sourceforge.net/apps/mediawiki/bibdesk/index.php?title=FAQ#Underscores_in_URLs_are_not_showing_up_correctly_in_my_bibliography

Everyone: please edit it if you like! All you need is a sourceforge ID
to log in and edit the wiki.

Thanks,
-mike

On Fri, Sep 18, 2009 at 3:57 AM, Daniel Becker
<[email protected]> wrote:
> Hallo Schubi,
>
> it is a bit difficult to say what exactly the problem is without an minimal
> example (www.minimalbeispiel.de).
>
> The underscore is a special symbol for math in LaTeX, hence it wants to
> enclose it in dollar signs, as in $x_A^2$. For bibtex, just loading the
> hyperref package is not enough.
>
> What you could try is to put the url in a command like
> \url{www.test.de/bla_58} - then hyperref kicks in and does its work.
>
> But I think you want to use a bibtex-entry like webpage, url, online or so.
>
> The bst-style you are using must be aware of the BibTeX-type "webpage" and
> know what to do with "Lastchecked" or "Url". This is done by
> http://purl.org/nxg/dist/urlbst
>
> It seems that natbib also supports by default URL and doi.
>
> And there is makebst, see
> http://www.ctan.org/tex-archive/help/Catalogue/entries/custom-bib.html
>
> Try to run latex - bibtex - latex on the example below.
>
> And before you invest time in traditional bibtex and how to add support for
> urls, consider biblatex.
> http://www.ctan.org/tex-archive/help/Catalogue/entries/biblatex.html
>
> Can't give an example, still have to learn it myself. Please report back if
> the example typesets with your system.
>
> Good luck -
>
> Daniel
>
> \documentclass[11pt]{article}
>
> \usepackage[T1]{fontenc}
> \usepackage[latin1]{inputenc}
>
> \usepackage{hyperref}
>
> % This results in a small literature database
> \begin{filecontents}{literature.bib}
> @webpage{OlsonPunctuation,
>        Author = {Olson, Gary A.},
>        Year = 1999,
>        Date-Added = {2005-10-24 13:05:52 +0200},
>        Date-Modified = {2006-07-16 19:44:22 +0200},
>        Lastchecked = {26.09.2005},
>        Local-Url = {downloads/OlsonPunctuation.pdf},
>        Title = {{Punctuation made simple}},
>        Url = {http://lilt.ilstu.edu/golson/punctuation/intro.html}}
>
> @webpage{bla,
>        Author = {Olson, Gary A.},
>        Year = 1999,
>        Date-Added = {2005-10-24 13:05:52 +0200},
>        Date-Modified = {2006-07-16 19:44:22 +0200},
>        Lastchecked = {26.09.2005},
>        Title = {{bla}},
>        Url = {http://bla.de/_zzz}}
>
>
> @article{Melitz2003,
>        Author = {Melitz, Marc J.},
>        Date-Added = {2007-04-21 12:40:47 +0200},
>        Date-Modified = {2007-04-21 12:41:11 +0200},
>        Doi = {10.1111/1468-0262.00467},
>        Journal = {Econometrica},
>        Number = {6},
>        Pages = {1695-1725},
>        Title = {The Impact of Trade on Intra-Industry Reallocations and
> Aggregate Industry Productivity},
>        Volume = {71},
>        Year = {2003}}
> \end{filecontents}
>
> %\usepackage{natbib}%activate if you are using plainnat below
>
> \providecommand{\doi}[1]{\href{http://dx.doi.org/#1}{http://dx.doi.org/#1}}
>
> \title{Brief Article}
> \author{The Author}
>
>
> \begin{document}
> \maketitle
>
>
> Hallo - ich bin ein Test und zitiere \cite{OlsonPunctuation}. And there is
> also the doi-system, see \cite{Melitz2003}. Another test: \cite{bla}.
>
>
> %from the urlbst-package
> \bibliographystyle{abbrvurl}
>
> %natbib seems to support both url and doi
> %\bibliographystyle{plainnat}
>
> \bibliography{literature}
>
>
>
>
> \end{document}
>
>
>
> Am 16.09.2009 um 12:37 schrieb schubi:
>
>> Hi everybody
>>
>> I hope you can help me, i have a problem with underscore in URLs.
>>
>> I tried several tips from google, but they didn't worked for me...
>>
>> I am using BibDesk on Mac OS X Leopard together with TexShop.
>>
>> The Package hyperref is included in my Latex Document.
>>
>> As attachment, i send a screenshot of the texshop log.
>>
>> Thanks :)
>>
>> greets schubi
>> <Screenshot 9.jpg><ATT00001..txt><ATT00002..txt>
>
>
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