Feel free to leave your under garments on.  The massage therapist will work around them while still having you properly draped with a towel or sheet.  However, if you prefer to do this, please wear garments that you are not concerned about as some oils or lotions may stain your undergarments.  General professional rule of thumb is that the therapist will stay one inch away from the undergarment and not work the area that the undergarment covers.

For men:  If you wear long boxers, keep in mind that the therapist will not be working any covered area so depending on how long they are they may only be working your calves and lower leg.