This has always baffled me. Why can't you underline text in Illustrator? Is it hidden somewhere I can't see? Maybe in the new version you can. But since I'm still behind on my updates, I'm not sure.
I found the workaround awhile ago. It is one of the strangest methods I've run across. You have to have Photoshop open. Copy and paste the text into Photoshop document, then you set the text to be underlined, and finally copy and paste the text back into Illustrator. Vi-o-la!
If there's a better way, please let me know!