i do a lot of running and use compression shorts for shorter runs (10K) and running tights for longer runs (1/2 marathons and longer). you get the benefits of compression (more efficient delivery of oxygen to the muscles to prevent lactic acid build up, reduction in muscle movement which equals less muscle soreness after your run), they are moisture wicking, helps prevent chaffing, and definitely keeps dangly bits in place. you can get garden-variety compression from underarmour or nike/adidas, but you get 100% better muscle group support and compression from skins (
http://www.skins.net/) or cw-x (
http://www.cw-x.com). they cost 3 times as much, but you definitely get what you pay for. you are still technically freeballing, because you don't wear anything underneath compression shorts/tights, of course. i guess there is the "how comfortable are you running around in tights" thing, but i've been running for a long time in them and never had anyone react oddly. also, for anyone chaffing because they are not wearing a liner, body glide works awesome for preventing chaffing (
http://www.bodyglide.com/)