If by "importing" you mean using import to include an npm package that can be accessed at runtime, that is not a feature of the TypeScript Playground, unfortunately; it's intended for testing features of the language and the compiler.

You'll need to use a sandbox environment if you want to include npm packages, bundlers, etc.; checkout CodeSandbox, as others have suggested.

About your particular error:

[ERR]: Executed JavaScript Failed:
[ERR]: Cannot use import statement outside a module

This is due to your current configuration, not the lack of package support by TypeScript Playground. By default, your .js output probably looks something like this:

import * as _ from "underscore";
const equalResult = _.isEqual('ABC', '123');

This is because the default module setting in the Playground is set to ESNext.

If we change this to CommonJS for example, we get:

"use strict";
var __createBinding = (this && this.__createBinding) || (Object.create ? 

// A bunch more lines .....

const _ = __importStar(require("underscore"));
const equalResult = _.isEqual('ABC', '123');

Now we get another error that tells us explicitly that our package is unavailable:

[ERR]: "Executed JavaScript Failed:" 
[ERR]: Check dependency list! Synchronous require cannot resolve module 'underscore'. 
       This is the first mention of this module! 

While the playground is smart enough to auto-import the types for import statements, it doesn't support external modules outside of this.