Definitely either a jockstrap or you could even try poly-pro/Under Armour-type shorts, which I've found to be pretty effective holding a packer in place. Not to mention, with the right ones you can feel cooler, which is nice for gym classes, and they wick sweat away. I imagine when it comes to just basic P.E. Under Armour-type shorts are more common than jocks as well.
Though, I suppose you could solve that by wearing your jock under whatever your underwear preference is...but for the sake of options I thought I'd mention the shorts.