If you are thinking of Internet and file addresses, note that there is an option to ignore those when spellchecking. I'm not using Word 2010 yet, but in Word 2007 it's in the Proofing category of the Word Options dialog box.
If you want to exclude all text that is underlined, you can do the following: Create a character style that includes underline formatting as well as "Do not check spelling and grammar" in its style definition. You can use Find and Replace to apply this style to existing underlined text.
