Here's why:
* Underlining was a convention used in typewritten documents before computers, to indicate italics.
* Quotation marks are used for direct speech, titles of shorter works (songs, poems, chapters), and to distinguish words used in a special way.
* Italics are used for emphasis, titles of longer works (books, plays, movies), and foreign words or phrases.
Example:
You might say, "I went to see *Hamlet* last night."