DEBUG and _DEBUG

Symbol prefixed with _ are defined to be for internal compiler use. As such, end-user should be unconcerned with their role.

_DEBUG is Microsoft implementation specific and is tied to Microsoft's standard library.

The documentation states when it's defined.

As a general rule, if you're going for portability, handle symbols prefixed with one or more underscores as compiler-specific, and use proper ifdef guards.

If you want to know why, it's because some compilers defined DEBUG and some defined _DEBUG and so in order to be able be compatible with the most code MSVC defines both.