manipulate filename

[Rick T]

Greetings All

I have several files in a directory and I would like to loop through and get a specific section of the filename

Example: of filenames

test 34_0001_hz.txt

testacv123_0002_hz.txt

test1a_0003_hz.txt

test2b3_0004_hz.txt

I would just like to loop through and get the 

0001

0002

0003

0004

and place that in a variable.  I was thinking of just search for the first "_" and the last "_" and taking the values in between. 

Is my logic correct and if so what would be the command to do this?  Also if there is an easier way please let me know

Thanks