Going commando is the way to go if you're all about comfort, and don't have fat thighs. There are many benefits, most of which are shared with boxer shorts -- your testicles (if you're a guy, of course) stay cooler, promoting a higher sperm count. You are less likely to obtain a skin infection such as Jock Itch in the area, as there is more air circulation to dry things out. All in all, it's comfortable, but there are some perils that need to be addressed.
First off, you can't wear baggy pants without a belt, even slightly loose-fitting clothes can easily slide down your elastic-free waist and reveal the crack of your ass to other people, e.g. co-workers, peers, whatever. You will not live such an experience down easily.
The next hazard is snagging your franks and beans in the zipper. Without underwear to cover your manhood before you zip, you must take additional care to make sure everything is tucked in before yanking the zipper. Usually the immediate pain of forcing penile tissue into a small, confined area will stop you from doing irreversible damage, but you're a lot more likely to do damage if you're oblivious and quick-to-zip. This hazard is also slightly amplified with boxer shorts, but not nearly as bad as snagging the fully-exposed organs. Briefs and boxer briefs make it pretty difficult to hurt yourself. Best bet -- ensure your frank is stashed away and pull the zipper area away from your body slightly.
Another amplified problem is the classic wet-spots-on-your-pants-after-pissing issue. As every man can attest, one must thoroughly shake after relieving ones' self at the urinal. If you're wearing underwear, the consequences aren't too bad; with boxers or boxer-briefs some urine may dribble down your leg and end up creating a tiny wet spot near your legs, but if you're going commando you can expect much more of a show if you're not careful, and much of it will be right near your special spot, forcing you to pull your shirt down to cover it or simply face the music and hope nobody notices.
If you have the aforementioned fat thighs, you can still go commando and enjoy many of its comforts, but you can't take very long walks or run too much. Chafing will quickly ruin your day, and if you're running or walking for a ridiculously long time you'll probably end up high on endorphins and won't realize what's going on until you go to the bathroom and see a big red welt on both legs. It ain't pleasant and it ain't pretty -- the best cure is desitin and a night of absolute nudity to dry the area out some. For fat-thigh men, I recommend buying a few pairs of boxer briefs for the occasional long walks or jogging sessions.
It goes without saying that random erections (again, women are excluded) are much more of a problem when you're not wearing underwear, as there is far less restraint to prevent the occasional pup-tent. Those with raging hormones may need to exercise caution. If you get too rambunctious and end up leaking a tad, you'll have a well-placed stain, which can definitely be a problem during high-intensity "makeout sessions" that don't end with sexual intercourse. Generally, spontaneous erections aren't a problem once a male has passed his "sexual peak," but it's pertinent information for would-be teenage warriors.
One final peril is poor hygiene. With underwear you have somewhat of a safety net for covering up sloppy toilet habits. Without, you must maintain a higher standard of cleanliness at all times, or you'll end up stinking up your pants before the day is over. There's nothing to make up for your mistakes, so be thorough, if you know what I mean.