When naming your files, folders (but you usually don’t want folders anyway) and sites, avoid these characters:
& ~ # % * ? / + | ” . _ { } \ : < >
Underscore is to be avoided as the first character in the name, and multiple consecutive periods should be avoided. In columns and document library names I also prefer to avoid Norwegian letters like æ,ø and å, and spaces. I rather rename the column or document library afterwards, getting a nice looking name combined with a coder-friendly URL (I get no sleep when I see URL’s like bad%20url.)