I ran into this toughie today...
When creating a folder in a library in SharePoint with an underscore in the name, SharePoint will append an additional underscore to the end of the folder name, and forces it to persist there. According to this blog post, this phenomena is due to Microsoft's decision to prevent conflicts with Office applications and their ability to save files as HTML which causes thickets.
Unfortunately there appears to be no remedy for this bug, and it will present an issue for my client who has exported a package from Adobe Captivate and wishes to present it within their SharePoint-based website. One of the folders that is produced is named 'external_files', and therefore SharePoint has forced it to be named 'external_files_'.