I second the Jaco's. I own 3 pairs now. I love them for all training unless I'm wearing Thai trunks. They're too long for them.
I used underarmor's for years but they are a bit tight. And the newest pair I purchased were REALLY tight. UA also makes a boxer jock that is tight, shorter than most compression shorts, but a lighter material. Also a bit looser in the crotch. They're a little too lose for training though.