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I'm trying to include URLs in my .tex/.bib, but I got an error "Missing $ inserted".

Your URL might be containing some underscore characters _, which are special characters in LaTeX — they're the subscript operator when in math mode, e.g. $x_i$ will produce xi. Usually if you want to use a literal underscore character in normal text, you'll have to write escape it as \_.

Fortunately there's an easier way to include URLs with underscores. If you add \usepackage{url} or \usepackage{hyperref} just before your \begin{document}, you can then write \url{https://www.example.com/url_with_underscore} in your document.