I ask this specifically because SQL Server collations contain underlines, and I couldn't find how to display them properly as part of a sentence. Only quoting them as code seems to display it properly, as below :
Intra_word_emphasis are disabled, so the underscores in that first part should show up normally. There's a long-standing bug that the preview doesn't handle this correctly, but it should show up normally in the post.
If you still have an _ that is causing you trouble, you can escape/hide it from the markdown parser with a backslash (\).
Update: I came back to this now nearly 5 years later because this just got a new upvote today. I believe that the markdown rendering has been completely re-written since I first posted this answer (probably twice with the whole CommonMark thing), and I have no idea how accurate it is anymore.
The only way to get it to show up in the same sentence as regular text would be using the backticks for code highlighting it seems.
If you are just looking to make it work at all, you can use the backticks, the
Edit: Turns out I am wrong and the underscores WILL work but the preview is still bugged.