This is going to be a short post.
First, a caveat: No one SEO tactic is the end-all be-all, in and of itself. It is part of a bigger picture using other SEO tactics. So, emphasizing keywords alone will be useless. Several SEO tactics need to be part of your overall SEO plan.
Second, I’d like to clarify that there are different points of view on this.
However, many webmasters still believe certain tactics—such as alt tags/attributes and keyword emphasis, such as bold, underline, italics—although they aren’t critical to overall SEO, certainly don’t hurt efforts.
In addition, many webmasters and SEO experts who do agree with subtle use of keyword emphasis think it’s okay to underline if another element is used, such as italics, to distinguish it from a text hyperlink. Also, it’s recommended if you underline text, don’t use blue font (again, to avoid confusion with hyperlinked text).
Some supporting reading: