OK, this may be a bit bizarre, but believe me, when you live in a climate that routinely remains between 100-114 degrees for five months, comfortable underwear is a must. I have tried nearly every type and brand, from briefs to boxers, and have recently discovered some new ones that are great. They are made by Under Armour, which is an entirely familiar clothing line to everyone here in Phoenix because they handle heat and sweat so well. My kids live in the Heatgear, though I opt for the Loosegear since I no longer have the body for form fitting clothing.
The underwear is made of that silky under-armour fabric, but is very comfortable and seems to wick sweat away from your body. The downside is that they are nearly $20 a pair, but they don't shrink and so far have held up well.
PS- I know my friend Scott in San Francisco tried a pair as well - he may be able to give us a review in the comments of whether he liked them or not.
Final Note: To those of you who suggest "none", you haven't lived in a really hot climate. "Freefalling" may be OK on a breezy day on the California coast, but in a Phoenix summer or in my birthplace of Houston, you are going to regret it.
Really Random Tangent: Someone sitting with me in my office this morning commented that "the only reason we think it is hot when it is 98 out is because of our clothes. If we were naked, 98.6 would be the perfect temperature because that is our body heat." This is actually a misconception and ignores several principals of thermodynamics.
The key fact is that the body generally is a net producer of heat. To be comfortable and maintain body heat, the body must shed this heat, which humans do in two ways. First, we transfer heat to the surrounding air from our skin - to do this well, the surrounding temperature needs to be less than our body heat. The more differential, the more heat transfer. Air motion (via wind) provides convective heat transfer, which accelerates this process. Second, we sweat. When sweat evaporates, it pulls heat from the surrounding air and adjacent body. Sweating cools us therefore based on evaporation rates, which is one reason why drier climates are more comfortable -- sweat evaporates faster.
In addition to shedding the body heat we produce, we also have to shed any heat we pick up by radiative transfer. Radiative heating is the heat we feel on our skin when we are in direct sunlight, and is why one can be cooler in light than dark clothing (dark colors absorb more radiative heat).
All this means that if we are naked, in the shade, in a dry climate like Phoenix on a breezy day, we are likely to be comfortable at a temperature closer to 98.6. In the direct sun in a calm, humid climate, even naked, we are going to want a temperature much much less than 98 to be comfortable.