The ancient Olympic Games were held in celebration of human excellence (which pleased the gods) - this included celebration of the human form, and thus the athletes competed nude1. However, many of the sports were derived from combat skills - the javelin and discus throws, for example, or a form of no-holds-barred wrestling called the pankrateon. This, coupled with the extremely competitive nature of the athletes (one pankrateon champion was nicknamed "thumb-breaker," for his signature method of winning matches) could make the games somewhat hard on the male athletes' "equipment." Any man who's done much athleticizing without a jock strap can sympathize. In any case, the Greeks' method of dealing with this issue was to tightly bind everything up with leather or twine into a package that was called a "dog knot." It doesn't sound terribly comfortable to me, but then neither does fighting in the dirt, naked, under the hot sun, with a man named "thumb-breaker," so I guess I'm just not the Olympic type.
1Interestingly enough, this applied to both male and female athletes, although men weren't present when the women competed.