Regular underwear is generally made of untreated cotton, which tends to absorb sweat and stay wet, which can lead to chafing, discomfort, and distraction during a sweaty workout.
The best performance underwear pair, on the other hand, is characterized by its ability to provide support, allow for unrestricted movement, wick sweat away from your skin, and dry quickly. You need it, because these properties go a long way in keeping you comfortable, cool, and irritation-free during workouts.