I wear either compression shorts or some long underarmor style sports tights. They are very thin and the material is slick so it doesn't cause problems getting the wet suit on or off. The comression shorts are kind of in an ambiguous category as far as outer wear go so sometimes you get some looks from the ladies like, "Is that guy prancing around in his underwear, or... hmm." If you really want to have some fun, wear the compression shorts with the cup inserted!
I chose the Nike Pro compression shorts for the same reasons.
