Cotton is the most common fabric used for underwear. It is comfortable and relatively inexpensive, and these qualities make it ideal as fabric for underwear. Many synthetic fabrics have been created over the years, but we still prefer cotton. Sometimes it is mixed with spandex or polyester, but some people feel that this is not an improvement, and they prefer underwear that is one-hundred percent cotton.
Here are two examples that I think look quite comfy:
100% cotton long underwear for men pictured:
Left: Indera Mills Heavyweight 100% Cotton Knit Thermal Long Underwear Bottoms
Right: Colmaster Big Man 100% Cotton Heavy Weight Thermal Shirt
If you like the idea of 100% cotton underwear, you should be able to find a reasonably large selection in major retail stores. On the other hand, as I found out myself recently, long underwear can be hard to find.