I don't wear underwear with my shorts either, unless it's that time of the month and then I have to.

I did wear underwear with my shorts when I first started becasue I didn't know any better. I was like many others and thought I would feel very akward without them, but once I tried it, I decided it was best for my purposes because I wear cotton underwear and did not think that wearing wet sweaty underwear under my shorts that are trying to wick away the sweat was very sanitary. You have to understand though I sweat a LOT, so for me it was best.