If I'm cross-playing as a male, I like to wear boxers over my panties. Weird, I guess but I just don't feel... covered otherwise.
I think whatever you think is most comfortable, but if you're going male to female, you don't want to have any weird lumps where your underwear is bunching under your, for example, latex catwoman costume.
On the flipside, I like to actually wear swimsuit bottoms under some of my costumes as normal underwear, for lack of a better way to say it, is not skimpy enough, and you don't want bumps where there are ties either.
It's really all up to you. ^_^