How to render underlined text in Unity?

If you are using GUILayout, you can do it by fetching the last item's rectangle:

         // This displays a button that looks like a label. ExpandWidth(false) ensures
         // that the underline will have the same size as the text.
         if (GUILayout.Button("Click me!", EditorStyles.label, GUILayout.ExpandWidth(false)))
         {
             Application.OpenURL("http://www.google.com");
         }

         // Get the last rect to display the line
         lastRect = GUILayoutUtility.GetLastRect();
         lastRect.y += lastRect.height - 2; // Vertical alignment of the underline
         lastRect.height = 2; // Thickness of the line

         GUI.Box(lastRect, "");

See GetLastRect

[1]: http://docs.unity3d.com/ScriptReference/GUILayoutUtility.GetLastRect.html

Well in support of the above answer . You can create Rect using same arguments like shown below and can put underscore in String .

           //Forgot Password button
     if(GUI.Button(Rect(x, y, width, height)),"Forgot Password",forgetButtonStyle){
         Application.OpenURL("http://answers.unity3d.com/questions/topics/underline.html");
     }
     
     //UnderLine Forgot Password button
     GUI.Label(Rect(x, y, width, height), "______________", forgetButtonStyle);

If you want to reduce the gap between text and underline , you need to reduce height of underline label.

Well, this is a hack, but you can always create a duplicate TextMesh consisting only of underscore characters (e.g. ___ ).

If you need this functionality "TextMesh Pro" support the underlined tag so you can more easily manage underlined text.

Normal Underline text

In Unity 4.6. Duplicate the gameobject that has the text component (Ctrl+D). This will retain its positioning information. Then replace every character in the text field with a '_'.

You can automate this with the following Underline.cs component to add to any Unity 4.6 gameobject that has a Text component:

 using UnityEngine;
 using UnityEngine.UI;

 [RequireComponent(typeof(Text))]
 public class Underline : MonoBehaviour
 {
     void Start()
     {
         var transform = base.transform as RectTransform;

         // make a stripped down copy of the Text
         var go = GameObject.Instantiate(transform, transform.position, transform.rotation) as Transform;
         foreach (var component in go.GetComponents<MonoBehaviour>())
         {
             if (component is Text)
                 continue;
             else
                 GameObject.Destroy(component);
         }
         go.SetParent(transform.parent);

         // make sure transform has original values
         go.localScale = transform.localScale;
         var TextComponent = go.GetComponent<Text>();
         TextComponent.rectTransform.sizeDelta = transform.sizeDelta;

         // use the copy to create an underline
         TextComponent.text = new System.Text.RegularExpressions.Regex(".").Replace(TextComponent.text, "_");
     }
 }