Is using a URL like http://coolsite.com/doSomething common?
Go with the hyphenated option. It will be easier to read for the user and if you have longer names, make it easier to recall too.
eg: look at the URL for this question:
Also, avoid capitalization if possible, just to remain consistent. eg: Was the S capital or was the D capital?
Unless you have a very important reason to do so (like URL shorteners e.g. bit.ly), URLs should never be case sensitive (regardless of the OS for the server). A user does not want to have to remember that the path to a certain page on your site has capital letters at position X and position Y.
It is also much quicker for the user to type all lowercase. And making your URLs case-insensitive, even on apache-based websites will mean that no matter how someone types your URL in a link or in the browser window, the user will get to your content, which is the most important part.
As for using underscores, hyphens, or nothing, the best thing for search engine optimization is to use hyphens, then each "word" in the URL is considered a "term" by the search engines. Bing treats underscores and hyphens the same way, but Google (at least as recently as I can find) treats words separated by hyphens as separate terms, but combines words separated by underscores into a single term.
Having no spaces between the words means that the entire string is going to be treated as a single word by search engines. If you absolutely do not care about search engines finding your page in any way, then going without hyphens/underscores is definitely easier for a user to type. But my argument at that point is, how many people really type your URLs as opposed to getting there via other means?
The general consensus is that a dash is seen by google as a space, when an underscore and camel-case are not.
So there is a SEO benefit there--which one could translate into a UX benefit in terms of 'findability'.
As for readability, all lower case is certainly the hardest to read.
So that leaves camel-case vs. a separator such as a dash. I'd argue the dash is as close to plain-written language (using spaces) so would say that's another plus for the dash option.
double-click this: theQuickBrownFox
double-click this: the_quick_brown_fox
double-click this: the-quick-brown-fox
Your computer (most likely) considers the last to be separate terms. Google (or any other automatic word indexer) would understand that those are separate terms and would be able to index them properly.
For upper-level domains, use camelCase for promotional things outside of the web like commercials and brochures. Basically, if the user can't copy and paste the domain, then use camelCase to make it easier to read and (more importantly) easier to remember. Domains should be case insensitive anyway.
For pages within domains, use hyphens because these names tend to be longer. It's easier to just type a hyphen to separate words than it is to hold down the Shift/Cmd key and type a letter.