Absolutely. I usually wear yoga shorts. I either go commando, or a wear my ComfyCock fishnet pouch, which has no back or sides. It provides just enough support so that I can wear thin yoga shorts without showing off TOO much.
I first dress nicely and appropriately for the occasion, but do take into consideration looseness, briefness and comfort. For instance, I have found a particularly nice comfortable brand of socks from Ireland that are the least restrictive, yet look real nice - so I use those. I find nice sweaters are good, too. I, however, have yet to find a comfortable and non restrictive tuxedo, so on those very rare events I put up with it. They are usually less annoying than the actual occassions!
Side story. As part of my U.S. law school education, I spent half a year being tutored in British law by a London barrister who, under his flowing court robes, wore jeans and a tee shirt - and dress shoes.