The best and easiest way to do that is use tags in your strings.xml (or whatever you call your strings resource file)
Example
<?xml version="1.0" encoding="utf-8"?>
</resources>
<string name="textview_string_id"><u>This is underlined text</u></string>
<resources>
Other tags that also work
<i></i> (italic)
<b></b> (bold)