To escape many _ in LaTeX efficiently

I couldn't get the underscore package to work, so I used the url package:

\usepackage{url}
\urlstyle{sf}  % or rm, depending on your font

...

Foo \url{word_a_a_a_a_a_b_c_dd} bar.

Typically you want a monospaced font in such situations, so you can use this:

\verb|word_a_a_a_a_a_b_c_dd|

It's funny how this is a question and answer site for programming questions but nobody has suggested programming yet.

You could define your own command which replaces the underscore tokens:

\documentclass{article}

\newcommand{\filename}[1]{\emph{\replunderscores{#1}}}

\makeatletter
% \expandafter for the case that the filename is given in a command
\newcommand{\replunderscores}[1]{\expandafter\@repl@underscores#1_\relax}

\def\@repl@underscores#1_#2\relax{%
    \ifx \relax #2\relax
        % #2 is empty => finish
        #1%
    \else
        % #2 is not empty => underscore was contained, needs to be replaced
        #1%
        \textunderscore
        % continue replacing
        % #2 ends with an extra underscore so I don't need to add another one
        \@repl@underscores#2\relax
    \fi
}
\makeatother


\begin{document}
    \filename{__init__.py}
\end{document}