You can wear something under your garment as long as it doesn't wrinkle or bunch up. Sometimes this helps at areas like the underarms...if you wear, say an underarmour shirt with sleeves and then put on a compression vest the underarms can be protected from chaffing.As far as panties or briefs are concerned they can be worn over the outside of the garment for hygiene and comfort if you like, as the crotch is cut out of the compression garment.
Your compression garment should be directly on your skin to minimize any irregularities that maybe caused by your undergarments.