Depends on the cup, if you have a jock strap or compression short... I'd suggest undies or compression shorts, jockstrap/cup, then fight shorts. Or just get the Shock Doctor compression shorts with flexcup and just wear them.
I like to put my Gi on first, then (and only then) I put the jockstrap on over the GI. This will show all the rest of the guys at class that you are someone to be reckoned with. Oh...and always wear a pink cup.