I find undies that fit right don't ride up. Um, not as much anyway--there's a class I go to that always includes squats. The squats usually come along with a side order of creepage.
...But--Or maybe I should say 'however'
...The first time I went for run I had an unfortunate experience with creeping underwear--because they were too small. Since I've been buying underwear that fit, it's only a problem with moves like squats.
A co-worker that I talk to gym stuff about buys the athletic underwear that they sell here at LaSenza Spirit. I can't personally vouch for them, but when it comes to sweat--even around our delicate bits---polyester is better than cotton. Cotton holds on to moisture instead of evaporating it. Please do buy cotton-lined gusset (it's better for our delicate bits) but otherwise, it may be cheaper to buy polyester underwear at a 'regular' store than buying athletic undies. And really, no underwear is starting to sound like a better solution the more I think about it... If only I did go to the gym with a colleague at lunch!
I've learned there are no embarrassing questions on this forum. But then again I'm hard to embarrass.