Ref  intrigued me, so I played around with the fonts in Mathcad to see what could be done with strings. I was hoping to get a full character underline with all underlines at the same level, but the fonts don't seem to want to play my game. However, it is possible to implement some superscripts and subscripts in strings. In addition, the following control codes do something vaguely useful: HT (09), LF (10), CR (13) and NEL (133); the last 3 behave as newlines and HT acts like a fixed-size tab character.
Naturally, I have a llllooonnngggg standing request for formatted strings in Mathcad, using something like a Markup code, HTML, RTF or (preferably) TEX (I'd also like to see an export to TEX option). I've got another worksheet in its early stages that uses a simple markup to "underline" the words shown in the example above.
The attached worksheet was written in Prime 6.0 Express.