Does using spaces in a URL affect SEO?

Spaces in URLs are bad for two reasons: 1) when you copy the URL, it may have an ugly %20 in it to represent the space; 2) on older browsers, copying the URL may leave a space in the URL, so when pasting the link into another webpage like a forum post, the URL will become broken like this:

example.com/my cool page

The only part that will get hyperlinked is:

example.com/my

That will cause a 404 error on your site, and not give you the SEO link juice.

Dashes are best:

example.com/my-cool-page

Yes don't use + symbols in your URL's it's much better to use - as - tells google these are separate words. And - are most common form of SEO friendly URL's