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Wow! It's quite interesting that more of us use the hyphenated version. Semifinal and semiquaver are my earliest recollections of the use of the prefix in question - without a hyphen, of course. I always omit the hyphen in my usage, however, I'm quite sure that sometimes it's required... you tell me.
I think the written depends on the spoken, and vice versa. If it someone writes "semi-colon", then the person will say "seh-my colon". Alternately, if someone writes semicolon, they will say "seh-mee colon". Also if there is a hyphen I think there tends to be a very small pause between the words.
Vidableek, I would write it semi-colon and pronounce it 'seh-mee colon'. Not sure about spelling, but I think the 'ee' vs 'y' is a British vs American thing.
I tend to think of hyphenated words as adjectives, ex: well-liked.. If the word is a noun like semicolon, the hyphen looks wrong to me.