Originally Posted by dobber
You're looking for compression shorts. Wally-World has some back in the sporting goods area alongside the jocks-straps and other assorted underbit holders. Or you can visit one of your local sporting good establishments and probably find something. UnderArmour makes em, but they're damn expensive. Amazon sells em online for about $24, the aforementioned Wally-World variant is about $11.
I wear em underneath my cycling specific shorts/bibs. If you run into problems with the seams rubbing, turn em inside out.
That's a lot of help; I wasn't sure exactly what they were called.