Keeping with convention - well, naming convention - is a good thing sometimes. Demian Turner thinks so and talks about one of many reasons he sees to follow a standard set in place for a while now - the PEAR naming standard.
By far the most convincing reason to use the file naming convention, which means that a class located in your include path like Foo/Bar/Baz.php is called Foo_Bar_Baz, is the ability to take advantage of PHP 5's __autoload magic method.
The __autoload functionality in PHP 5 is definitely one of the most handy, elegant single lines of code out there and I'd definitely vote for anything that will make working with it even easier. Demian also includes a few lines of example code to show the interaction between the function and the files with the naming convention.