There's no direct solution to either
1) formatting individual parameter entries differently; for example, bolding rows
2) creating cascading parameters
You might be able to improve on the underscore with an arrow or bullet, such as
Less relevant in your case, but for completeness, the other common arrows are
You can just cut and paste these into the "Display As" part of the parameter field. These work with Desktop and most browsers (maybe not IE6 or earlier).
The other approach is to use a worksheet as a filter. The worksheet has a list of the values you want to filter on---with formatting and, potentially with a hierarchy, and then you can use a dashboard action to apply selected rows to the main viz. You can do a hybrid with a parameter to select the top level and the worksheet showing the sub-levels.