SE Markdown supports both underscores and asterisks for marking italics and bold:
_foo_ __foo__ *foo* **foo**
foo foo foo foo
However, the SE editor (both in browsers and apps) only recognises (and uses) asterisks. If you select an underscore-delimited italic or bold word, and use the keyboard shortcuts or the buttons on the top to change that formatting, it won't work. The editor will add and remove asterisks.
This makes editing posts that use (and overuse) underscores for formatting annoying.