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man bash, search for section Special Parameters:

$_ At shell startup, set to the absolute pathname used to invoke the shell or shell script being executed as passed in the environment or argument list. Subsequently, expands to the last argument to the previous command, after expansion. Also set to the full pathname used to invoke each command executed and placed in the environment exported to that command. When checking mail, this parameter holds the name of the mail file currently being checked.

The key difference is the expansion. So if I have environment variable FOO set to 'bar' and I do echo $FOO then $_ on the next line will display bar while !$ will just display $FOO