I am in total agreement with everyone. No undies under ANY workout apparel. Been doing it that way for 20+ years. What I do instead is...for my gym workouts - I wear a pair of compression shorts (like Under Armour, Nike, or Moving Comfort) as my next-to-skin layer, then over that I wear a pair of fitted workout capris or pants. The compression shorts replace my undies and also keeps my thighs from over-jiggling.

On the bike...it's simply just cycling shorts or knickers...unless it's cold, then I'll add tights over them.