In DOS (and Windows NT/2000/XP, and possibly OS/2) prompt strings, $_ generates a new line. This can be quite useful.
Often, people use $p$g as their prompt string, which shows their current directory ($p) and then the > prompt character ($g). With modern disks, and especially Microsoft's love with long path names (such as "Documents and Settings", "Temporary Internet Files" and the like), this can end up rather long, and the actual prompt character (and therefore where you type) gets lost.
So, using $p$_$n$g can make life easier. You still get your whole path, but you then get the prompt on a new line.
(Back in the good old DOS days, when everybody loaded an ANSI screen driver, you could do clever tricks that put a "status bar" at the top of the screen with the current path and current date and time in pretty colours. Hum de hum.)
wertperch said I actually miss ANSI.SYS. Hm. Wonder if it's still there in any form. I believe it is there - c:\windows\system32\ansi.sys or c:\winnt\system32\ansi.sys - but it's a bit messy to get it to load into a command prompt.