I've yet to find a consistent type of underwear that won't give me wedgies (no, I'm not buying them too small) but I wear hipster or bikini type underwear. They are, I guess, supposed to be the most comfortable. Never tried thongs or boyshorts, but I hear they're either extremely comfortable or extremely unpleasant and wedgy-ish. I've heard both. Don't really want to take my chances. :( Unless I was randomly given some to try or something, but I always do clothes shopping online and I don't want to buy anything I'm unsure of, you know?
With bras... as long as they keep the girls in place I don't really care actually, though I do really like lace. (that applies to underwear too, forgot to mention. not that it matters lol)