Use it, but be aware that many browsers use underline to indicate a link.
<U> underlines the enclosed text.
My favorite book is <U>To Kill a Mockingbird</U>
produces
My favorite book is To Kill a Mockingbird
It's generally best to avoid <U>. Most browsers default to using an underline to indicate a link, so a plain underline that isn't a link is confusing.
If you want to designate the name of a book, try italics instead: