While some runners love to talk about their running clothes, they become a little more reserved when it comes to undergarments and -- as a result -- suffer in silence wearing uncomfortable underwear. The "synthetic material/no cotton" rule also applies to underwear. Make sure you wear tight-fitting, non-cotton underwear so any moisture is wicked away and you avoid chafing. Most uncomfortable underwear issues can be avoided by following that rule.
Some running shorts do have "built-in" underwear. It is perfectly fine to wear just these shorts -- you don't have to wear another pair of underwear underneath them. Some runners, especially men, prefer to wear spandex compression shorts under their shorts instead of underwear. Some female runners I know swear by running thongs and claim that they're extremely comfortable. It's really a matter of personal preference, so you just have to figure out what works for you.
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