Backbone Dependencies: Underscore
It's a utility library. Lot of functional programming utilities: for objects, arrays, collections, functions.
Fall back to existing ES5 methods (polyfills for older IE), so you don't have to manipulate object prototypes yourself. You could do it yourself, but might not be as robust.
Backbone Models and Collections "borrow" many underscore methods.
No longer a hard dependency: you can use Lodash (better performance, module compatibility, custom builds)
The documentation is the same for both.