for f in \ ; do mv "$f" "${f// /_}"; done

Though it's not recursive, it's quite fast and simple. I'm sure someone here could update it to be recursive.

The ''${f// /_}'' part utilizes bash's parameter expansion mechanism to replace a pattern within a parameter with supplied string. The relevant syntax is ''${parameter/pattern/string}''. See: https://www.gnu.org/software/bash/manual/html_node/Shell-Parameter-Expansion.html or http://wiki.bash-hackers.org/syntax/pe .