Finding appropriate men's clothing for hot yoga is more challenging than it appears to be and the oddballs in underwear and Speedos deserve a little sympathy. Yoga clothes for men are silly expensive so expect to pay $60-100+ for a good pair of men's shorts that are suitable for hot yoga. It drives me crazy since I am cheap with my workout gear and still have athletic wear from college. Then you have to wash your yoga clothes (and maybe add some bleach) after every class to get rid of the odor that develops in Bikram studios so they won't last long and you will need several pairs for everyday use. If you go to hot yoga and don't have compression shorts, borrow your wife's compression bike/yoga shorts (if she will let you) and wear them under regular gym shorts made of synthetic fabric. However, if your gym shorts are too long they will start sticking to your legs which gets really annoying. One option is to wear the compression shorts under a pair 70s style Boston Celtics short-shorts.
http://bleacherreport.com/articles/1733757-we-remember-the-lakers-short-shorts-against-the-celtics-in-2007. You will look ridiculous but problem is solved and who wants all those women flirting with you anyway? I really have not found a good solution for myself since Speedos and underwear are out of the question. While they do seem weird, about 15 minutes into a class of 108 degree heat when my shorts are sticking to me and my head is spinning Speedos and underwear start to make complete sense. There are so many options for women from 3-packs of yoga shorts for $9.99 to Lululemon haute couture. On the other hand, the guys have to be more creative with hot yoga clothing options. So cut these guys a break or the next thing you know they may start showing up in loin cloths or sans clothing and sprayed with body paint...