In gvim and mvim incorrect spellings are highlighted with a squiggly underscore ala MS Word. vim in a terminal (xterm) will highlight the word be default. The following snippet can be added to your .vimrc file after setting your colorscheme. If you do not set a colorscheme then you are likely using the default and this could be placed any where.

To highlight terminal (xterm) spelling mistakes with an underline rather than a background colour and keep the squiggly underlining in graphical vim:

" Spellings Underline instead of highlight "
highlight clear SpellBad
highlight SpellBad cterm=underline 
" GVIM/MVIM squiggle underline "
highlight SpellBad gui=undercurl