I go commando in sweats for short outings like taking the dog for a walk in the morning, but I wouldn't dare go to a store or a gym that way. Two reasons. I'm pretty big soft (about 7") and am cut with a big flaring head, so it's really really obvious. Nothing subtle about it. Also, swinging free and knowing people might be watching can be ... stimulating, and I don't have any urge to have a full hardon in public.
In the end, I love a swinging dick as much as the next hung gay guy, but I really think it's more tasteful in most settings to wear undies or a jock and just show a bulge, not an actual swinging dick.