Lion (10.7) or Mountain Lion (10.8)? I don't know if it would make a difference, though. If you are running Lion, you might want to post on the Lion forum as I don't have Lion os to test on.
What Input Source are you using (Language & Text System Preferences)?
While there, select Keyboard & Character Viewer and Show Input menu in menu bar.
Then, select Show Keyboard Viewer from the Input menu (flag). Press the shift key and watch what happens to that key on the Viewer. Does it change to a _?
Did you install anything that would alter your keyboard layout?
Does the shift key work normally, otherwise?