No socks on the bike for me, even at IM distances. I use tri shoes on my tri bike, and I train in them. Road bike has a different set of shoes, which I do wear socks with, though.
For the run, Oly and shorter, no socks in my Newtons. I do end up with minor blisters and red spots the next day, but not enough to bother me during the race. Longer than an Oly, I put socks on, the time taken is well worth it.