I prefer spaces (Player Name) to underscores (Player_Name) myself whenever possible, but I don't mind seeing either in a username. Hyphens (Player-Name) are probably the oddest choice in my book.
A complete lack of spacing is alright so long as they have the capitalization down (PlayerName), but neglecting to distinguish the words by some means (Playername) gets on my nerves a bit. Unorthodox capitalization (playerName) is fine, but with the exception of alternating capitalization (PlAyErNaMe), because that just looks like brain damage. No caps (playername) is just sloppy form. But hey, if you at least stick a space in it (player name), then its passable.
Using l33t-style (Pl4y3r N4m3) substitutions doesn't faze me in the least, as I read Homestuck on a regular basis.
MY M1ND DO3S NOT R3FL3CT MOR3 ON TH1S TH4N 1T WOULD 4NY OTH3R S3NT3NC3. It might get on other people's nerves though, so honestly think it through when you're choosing an alternative to a perfectly reasonable syntax.
Moving on: letters (XxPlayer_NamexX), numbers (PlayerName734), and other types of characters (^~PlayerName~^) that have no readily visible or inferable significance are to be avoided in my book.
Exceptions would be things like:
<color=#000055>PlayerName1994 ('94 is obviously a year, and it's probably when the dude was born),
<color=#000055>Player-name -_- (okay, that's supposed to be an emoticon or whatever; that's clear enough),
<color=#000055>Player Name XIV (Roman Numerals. Classy.)
and <color=#000055>Player_Name_Is_#1 (what a perpetually self-centered reminder, but at least its legible and pronounceable).
In a nutshell: use some common sense (or at least internet sense) when making a username. The way you portray it is just as important as what it says.