The Merriam-Webster Collegiate Dictionary (11th edition, 2007) includes preschool, but not pre-school. Other dictionaries that prefer preschool (and disdain pre-school) include the American Heritage Dictionary of the English Language(5th edition, 2011) and the various editions of the Oxford English Dictionary(OED).
The Chicago Manual of Style (16th edition, 2010, University of Chicago Press) says that words formed with the prefix "pre" should be closed -- preschool -- except when it is used to indicate an era or artistic style, pre-Columbian or pre-Raphaelite.
The MLA Style Manual and Guide to Scholarly Publishing(3rd edition, 2008, Modern Language Association) agrees. At 3.4.6h it says, "In general, do not use hyphens after prefixes (e.g., anti-, co-, multi-, non-, over-, post-, pre-, re-, semi-, sub-, un-, under-).
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