For comfort, I wear absolutely nothing under my shorts. I do cardio after weights, and get too sweaty to consider wearing a jock, etc. However, I do wear a long, untucked T-shirt for some degree of modesty.
I wear compression shorts under sweats or shorts to keep from flopping around, and so I don't sit on my dick when getting on and off the exersice equipment.
I prefer to just wear short gym shorts with no underwear at all so when i lay back on the weight bench my whole dick is hanging out. Everyone stares at how big my dick is, but no one is ever like "excuse me, your dick is hanging out." Much fun.
A jockstrap is preferable if I am going to be doing lots of cardio stuff (particularly running). I find I am pretty sore after a long run if I don't get the right support - maybe it's the way I run!
For doing mainly weights, I will wear whatever underwear I have on that day.
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