Mormonism rocks! I bet your religion doesn't have a website explaining your choice of underwear.

From the "Myths" section:

Mormons believe that garments provide some form of protection

If you remember, Mormons wear the garments as a reminder of the covenants they’ve made with God to keep the commandments. Mormons believe that as they keep these commandments, God will bless them and strengthen them against temptation and sin.
Again, critics like to take these promises of protection and distort them to make it sound like Mormons teach that garments provide all forms of physical protection (e.g., bullets, fires, etc.). Contrary to this perception that garments are some sort of impenetrable armor, Mormons believe that the promises are generally of a spiritual nature.

From the "Questions" section:

Why is Mormon underwear secret?

Honestly, I don’t think Mormon underwear is considered any more “secret” than anybody else’s underwear. At the same time, however, states “Garments are considered sacred by Church members and are not regarded as a topic for casual conversation.”

(Via The Rumpus.)