Underscore is intended to fit in nicely alongside jQuery -- in the handful of places where the two overlap (map, each, bind), Underscore delegates to the native browser implementations, providing quite a substantial performance boost over the jQuery versions. There is a benchmark script at the bottom of this page, and you can run it in your browser to see the difference:

http://documentcloud.github.com/underscore/test/test.html

In general, Underscore is intended for logic and data manipulation, and jQuery handles the DOM and Ajax calls.