Since I've failed to find a pair of comfortable underwear, I've gone commando for years. Briefs are too tight and look ridiculous; Boxer briefs always ride up my thighs; boxer bunch-up in the back; Thongs... umm no; plus it's just damn comfortable. I don't even wear underwear to the gym, I wear boardshorts. Boardshorts are great because they minimize floppage and wick the sweat quite efficiently.
Honestly, I don't even think about it anymore. When people find out, they're like "whoa, that's kinda weird." Not sure why it's weird though... no one has ever explained that to me.
With all that said, do whatever is comfortable...