Although I rarely buy underwear in a store (and this has been my practice for decades), however when I do the items are always washed before wearing. Underwear ordered online, catalog, QVC, HSN that arrives in a manufacturer's sealed bag I trust to be ok.
As for clothing, I more or less follow the same rule I do with underwear with a couple of differences. Items shipped directly from a warehouse may be steamed if the wrinkles warrant it. Clothing purchased in stores gets a sanitizing, and wrinkle-reducing steam before going into my closet. The exception here is clothing purchased from places like Marshalls and TJ Maxx. A clothing item in those stores could be tried on by 50 customers in one day, so they are nasty and I wash everything. Once in a while, I have found a nice dry clean only garment at those stores and I factor the drycleaning cost into the price of the garment because for the same reason I am not wearing anything from those places that haven't been cleaned beforehand.