When you double-click to select a word, foo_bar is selected as a single word, where as foo-bar is treated as two words. It would be nice if the behavior were consistent (my preference would be to treat them both as a single word).

You’ll need to change the word_separators property in your User Settings, below is the default ST setting.

// Characters that are considered to separate words
"word_separators": "./\\()\"'-:,.;<>~!@#$%^&*|+=]{}`~?",

If you only want to do this in e.g. lisp, you can also put things like that in your syntax-specific settings.