it sort of depends on the day, what im doing, where im going, if im armed or not.
If im just at home, usually im without much clothing, ironically, typically ONLY in panties. But thats if im alone, i dont do that if people are around xD
If im going out, unless im in tight jeans or something, i tend to wear underwear.
If im armed, carrying, yes i wear panties. An IWB (inside the waistband) holster, rubs, and not having anything on under your pants, gets really.really.REALLY. uncomfortable.
I also tend to use paddle style holsters when i open carry (have my gun visable), so i wear underwear then too.
occasionally though, i go wild and wear nothing under my clothes

no bra, no panties. freedommmmmm! xD