GET variables with spaces - they work, but is it correct or ok?

I have a PHP page where I'm passing the city name via a "city" URL/GET variable. Currently, it's passing the actual city name even if it has spaces (eg .php?city=New York). I then take the $city GET variable and run a MySQL query against cities.name.

This works just fine - but I've always been under the impression any variables, URL/GET or otherwise should never have spaces. I'm more than capable of either replacing the spaces w/ underscores, or removing them, and putting them back in for the query...etc - but I thought I'd ask first in case spaces are completely fine, and it was just my superstition telling me otherwise.