`man bash`, search for section _Special Parameters_. For `_` you'll find:

> expands to the last argument to the
> previous command, _after expansion_. 

So in a command line context the difference is the expansion. For example if I have a variable `FOO` set to 'bar' and I execute `echo $FOO` then `$_` on the next line will display `bar` while `!$` will just display `$FOO`

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Note that `$_` has different meanings in other contexts:

>  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.

...and...
> Also set to the full pathname used
> to invoke each command executed and placed in the environment exported
> to that command.  

...and...

> When  checking mail, this parameter holds the name
> of the mail file currently being checked.