If the link-giver has to say "click on the link or paste it into your browser", you know they've overdone it. Or they're using a badly managed CMS.
Not much point in pasting a broken link into your browser!
Some of our favourite retailers are incapable of a sensible URL - Dindle-Touch-e-Reader-Touch-Screen-Wi-Fi-Special-Offers/dp/B005890G8Y/ref=amb_link_357575542_6?pf_rd_m=ATVPDKIKX0DER&pf_rd_s=gateway-center-column&pf_rd_r=1FEB7HBP8YAWM86GHQS9&pf_rd_t=101&pf_rd_p=1321696362&pf_rd_i=507846 is one of millions of examples. And they still use underscores.
And a hyphen is way preferable to a bunch of 20%s - eg A%2520Touch%2520of%2520the%2520Me