A lot of athletes doing the heavy athletics at Highland games wear compression shorts under the kilt. Those are fairly costly, though, and the extra support isn't needed for most kinds of dancing. What Alan (my husband) wears when underpants are needed -- and what we recommend to our customers -- is a black (or other dark colour), knitted cotton 'boxer brief' that fits close to the body, unlike the baggy boxers made from woven cotton. In the US, JC Penney sell them under their Stafford label at $14.00 for two. If they are revealed by a spin of the kilt or a strong breeze, they have the advantage of looking more like shorts than like underpants, and therefore are fairly inoffensive. Also, they aren't as confining as the 'tightie whitie' variety of briefs, so they're more comfortable. Or so I am told!