A lot depends on the weather and the situation. I find that a pair of black lycra biking short style underwear works best if your'e going to be doing something like hiking or a lot of walking because... well there's a lot to chafe down there, and many people dont realize how much friction there is when things swing freely.

When wearing my nice wool kilt, for the reasons Steve mentioned, I feel that a pair of black boxer briefs is the way to go.

Just going out for a night at the bar? Dont need much underneath then. The key though is... always keep the mystery alive if you're asked "the question" Wether you're regimental or not, just be vague ! That's half the mystique of the kilt to people who dont wear one. When asked what i'm wearing under my kilt... I always just answer "shoes and socks of course"