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What characters are illegal in naming standards?

I read somewhere that we should not use the underscore character in any of our naming standards for directories, folders, security groups, etc., due to the parsing algorithms in Windows 2000. Do you know if this is really true? Thank you ahead of time for your response.
The only illegal characters when naming files, directories, groups, etc. are as follows: / : ? " | and the less than or greater than symbols. The only limitation I'm aware of in the use of underscores is in DNS naming conventions, as the underscore is an illegal character for anything other than SRV records.

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