What's the deal with a leading underscore in PHP class methods?

It's from the bad old days of Object Oriented PHP (PHP 4). That implementation of OO was pretty bad, and didn't include things like private methods. To compensate, PHP developers prefaced methods that were intended to be private with an underscore. In some older classes you'll see /**private*/ __foo() { to give it some extra weight.

I've never heard of developers prefacing all their methods with underscores, so I can't begin to explain what causes that.

I believe the most authoritative source for these kinds of conventions for PHP right now would be the PSR-2: Coding Style Guide because the Zend Framework is part of PSR:

Property names SHOULD NOT be prefixed with a single underscore to indicate protected or private visibility.

Now, in 2013, this is "officially" bad style by the PSR-2 coding guideline:

Property names SHOULD NOT be prefixed with a single underscore to indicate protected or private visibility`

Source: https://github.com/php-fig/fig-standards/blob/master/accepted/PSR-2-coding-style-guide.md