In the days of the typewriter, because there was no such thing as bold(nor italic) character keys, the method for providing emphasis was to simply underline. Here's how that worked: Let's use "example" as an example. You would type "example" then backspace 7 spaces and hit the "_" key to underline beneath each letter to get "example". Then you would continue typing your document. You could sometimes get a bold look to a word by typing a letter and backing up and striking the same key again – this would make it a little darker but not necessarily bold. So the proper style for writing was either use the "_" key to underline or retype the same letters to "bold" the characters – but not both.
Thus to bold and underline is redundant and not proper style for writing. (Keep in mind this is for standard writing, such as reports, letters, white papers, etc.) For flyers, copy, other marketing material, this may not necessarily apply as a rule.
In fact, most people do not understand or remember the origins of much of the writing style usage and tend to simultaneously use italicized, underlined, and bolded text for their writing. While there are no style police that will come and lock them up, this still can look pretty hokey.
Thank you, Phil!