As mentioned previously, at the moment there is no support for AMD in Underscore, a decision that also affects Backbone.
However, there have been enough developers interested in using Underscore and Backbone with AMD that forks were set up under the amdjs organization that have optional define() calls in them:
Ryan Florence suggested the AMD community maintain these forks, and if you would like to see AMD support as part of the main repos, click on the links above and click the Watch button. But only do it if you actually use the libraries above in an AMD context.
Hopefully this will give the DocumentCloud folks some indication of how many people might benefit from having support directly in the main repos, and maybe over time AMD support can be added to the main repos.
Both forks optionally register as AMD modules but also export global objects. This is to address the difficulty Underscore saw when only doing the AMD call, which led to the AMD removal from Underscore.
If you want an easy way to fetch these AMD versions from the command line, or to have a tool to make it easy to AMD-wrap older releases of those libraries, use volo. The README's Usage section has specific instructions on how to fetch these libraries.
If you would like to try an AMD+Backbone option that does to not modify the source files, check out Tim Branyen's explorations.