"hello _there_".replace(/_(.*?)_/, function(a, b){
    return '<div>' + b + '</div>';
})
Oh, or you could also:
"hello _there_".replace(/_(.*?)_/, "<div>$1</div>")
EDIT by Liran H:
For six other people including myself, $1 did not work, whereas \1 did.
You can use replace instead of gsub.
"hello _there_".replace(/_(.*?)_/g, "<div>\$1</div>")
    For the replacement string and the replacement pattern as specified by $. 
here a resume:

link to doc : here
"hello _there_".replace(/_(.*?)_/g, "<div>$1</div>")
Note: 
If you want to have a $ in the replacement string use $$. Same as with vscode snippet system.
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