What lies beneath hasn't always been so. According to most fashion historians, the first recorded use of underwear for men was the loincloth, used in the time of Ancient Egypt. Archeologists have found remnants of leather versions, which was apparently used much like the modern day diaper -- wrapped between the legs and cinched at the wrist. In fact, it’s been recorded that King Tut was buried with many pairs of these skivvies of days of yore.
Perhaps the Greeks or Romans were wearing something under those flowing togas, but there's nothing to show for it. In the end, we're going to assume that they went commando so as not to interfere with any of their Bacchanalian misadventures.