No visual evidence here, but former MLB player Pat Burrell claimed that he never wore underwear.
Top Floor Trouble For Burrell - CBS News
Andre Agassi has a story as well:
'I never played tennis while high,' says Andre Agassi | Sport | guardian.co.uk
<<On a lighter note one of the other startling revelations of Agassi's book is the fact he won the 1999 French Open without wearing underwear for the duration of the tournament.
It started when he forgot to pack some for his first-round match and did not have time to find a spare pair so decided to go "commando". He won and because of superstition played the rest of the tournament in the same relaxed fashion.
"It was just one of those things," Agassi said. "I've seen it a lot in tennis: a player starts a tournament a certain way, whatever that might be, like putting on their left sock first, and they can't stop."
Agassi said it was the first time he had told that story. "That's because this is the first platform I've had to tell it – it's not something you put out a press release on.">>