I'm 5'6" roughly 120 lbs, my legs aren't huge... but I wear a pair of Pearl Izumi ELITE Versa Liner Short, then wear a pair of Billabong/Quicksilver/etc boardshorts over top.
Very comfortable IMO. It's pretty much the same as wearing compression shorts underwear but with a 3-D Chamois.
$30 from Pearl Izumi site...if you google it, you can get it for cheaper. That's what I did.
http://www.pearlizumi.com/product.ph...366616&outlet=