Compare <U>underlined text</U> with normal text.
It is customary to use underlining in typewritten text for various other purposes than emphasis, too, but in HTML it is usually better to use e.g. the I element (to produce italics).
One particular reason for avoiding U is that typically Web browsers present links using underlining (instead of or in addition to other methods such as different color). Therefore, if you use U elements, the reader may have serious difficulties in distinguishing them from links.
The HTML 2.0 specification does not include U but mentions it as an element which has been "deployed to some extent".
See general notes on text markup, which provide additional examples.