I live in an area with a sometimes oppressively hot & humid climate. Though not strictly speaking for cycling purposes, I use Under Armour underwear for everyday use. They ain't cheap, $18 - $20 for a 2-pack if I recall, and that was a few years ago. But best I've ever used. Cotton will hold moisture and keep you 'damp', avoid cotton!

The new manmade wicking materials are the way to go. Of course if it's hot it's hot, and nothing short of air conditioned underwear is gonna keep the gonads consistently cool. But the U/A stuff does the best job of any I've tried.