While lifting or just doing regular exercises (running, whatever).
I've used the cheap "Duke" from walmart... that ends up just pushing my balls up inside me rather than holding them in place not to mention the retardedly uncomfortable band.
I got some Bike brand "swimmer's" jocks from the Sports Authority... decently comfortable, but fall apart pretty quickly.
Should I be looking for something else? Jock strap is a must for me... my freshman year in high school I had testicular torsion and have worn a regular pair of boxers maybe 10 times total since then.
I know guys who run/play sports/lift with boxers on. Jesus tapdancing Christ that makes me wince...