Squiggly underlines? What, do you mean:

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Like that? Of course; heck, even xterm does that fine. If you were referring to something else, I'm not too sure...

EDIT:

Never mind, now I know what you're talking about. No, I don't think you can get those in terminal vim, but I'm pretty sure there is a plugin for it.

iTerm2, at least, can show underlines where you'd expect squiggly lines in GUI vim. It's not as nice as the squigglies but it's pretty functional in practice.