this is what I wear 100% of the time (street, work and on the bike)

Intimissimi is an Italian company that specializes in Women's lingerie, but does sell men's underwear as well. They run about 10€/pair and I always picked up 12 pair when I went to southern Europe (Italy/Spain/etc...) but now they just opened a shop in Frankfurt

I think that in the US you get them from Victoria's Secret.