It's funny how your mindset changes depending on the company you are in.
When I first went to Finland (lived there for two years) everyone insisted that I must use the sauna, it's a country of 5.3 million people and 3.3 million saunas -- no kidding (sauna is to the Finns what Spice is to Arrakeens

). At first I was the only guy in the sauna wearing my bathing suit, naked is the norm, and I'll tell you what I felt pretty darned uncomfortable.
I am pretty happy with the compression-shorts-as-underwear thing I have going now. It's completely comfortable and the material breathes so much better than traditional cycling shorts, and is a darned sight better than regular underwear. I haven't tried the built in models but I will look into them the next time I need a new pair.