A few things that I noticed from a cursory glance:
- .replace()returns a- String, it will not modify- optionunless you do:
 - option = option.replace(guess, "_");
 
- Also, since you don't want to use Arrays, I highly suggest that you use StringBuilder
EDIT 1 (based off of comment from duplicate thread):
You can use a StringBuilder to have a String that's initialized to all -.  Then when someone guess a correct letter, you can replace the - with the guess.
StringBuilder sb_word = new StringBuilder(lengthOfOriginalString); 
for (int i = 0; i < length; i++)
     sb_word.append('-'); //add hyphens to StringBuilder, StringBuffer would also work
You should really use something like:
final char blank = '-';
Then, after someone makes a guess, if you've determined that the character at position i should be replaced by guess, you could do:
 sb_word.setCharAt(i, guess.charAt(0));
EDIT 2:
while (bodyparts > 0 && !win) //play game while you have bodyparts and haven't won
{       
     System.out.printf("Word to guess: %s\nEnter a letter or word guess: " , sb_word);
     guess = keyboard.next();
     if (guess.length() == 1)
     {
         for (int i = 0; i < length; i++) //loop to see if guess is in originalString
             if (Character.toLowerCase(word.charAt(i)) == 
                 Character.toLowerCase(guess.charAt(0)))
             {  //it is, so set boolean contains to be true and replace blank with guess
                sb_word.setCharAt(i, guess.charAt(0));
                contains = true;
             }
        if (!contains)
        {
            bodyparts--;
            System.out.printf("Incorrect, you have %d bodyparts left.\n", bodyparts);
        } 
        else if (sb_word.indexOf(String.valueOf(blank)) == -1)
        { //all the letters have been uncovered, you win
            win = true;
            System.out.println(word);
        }
        else
        {
           contains = false;
           System.out.println("Good guess.");
        }
    }
    else
    {
        if (guess.equals(word))
            win = true;
        else
       {
            bodyparts = 0;
            System.out.printf("Incorrect, you have %d bodyparts left.\n" , bodyparts);
       }
    }
}