Markdown already supports this element:
<u>here's an example!</u>
In all seriousness, the <u> element is generally best avoided, the spec explicitly says so
In most cases, another element is likely to be more appropriate…
The purpose of markdown isn’t to make a 1:1 mapping of HTML features to simple syntax. The purpose is to provide a convenient manner for authoring text and provide coverage for the most commonly used features. Because of this, I don’t see any reason to add support for the <u> element to the standard spec.
It might be worthwhile as an optional extension, along with support for <cite>, <dfn>, <abbr>, <q>, <small>, and a number of other less commonly used elements.