Like free weights or yoga mats, gym-friendly underwear is essential equipment. But don't shop for sports bras where you get running shoes, Nethero says: Those sold at athletic stores often compress breast tissue (unhealthy). Buy bras with cups—and, if necessary, underwire—plus thin seamless panties. Moisture-wicking fabrics no longer have that nylon-y feel, and boy, do they keep you cool and dry.
Above: Get going with a well-engineered bra with two-ply cups tops tiny shorts with built-in mesh panties.