I have always gone commando when wearing work out clothes; even back in the eighties when tights and leotards were the fashion of the day. Who needs an extra layer of material rubbing you raw where you are already sensitive?
But then, I have to come to find out that my standards of modesty are much less than a lot of other women. I have a friend who won't even shave her legs in the shower, with her DH in view. "It's too personal," in her words. Oy!