I wondered about this when it popped up somewhere on Facebook recently. I kinda like wearing clothes, though.
http://www.facebook.com/PghUnderwearBikeRide
From that page:
"** FIRST RIDE - THURSDAY, MAY 31ST @ 8:30PM - MEET ON THE CORNER OF BUTLER AND 46TH ** The Pittsburgh Underwear Bike Ride is about having fun, respecting each others bodies, and promoting safe and responsible biking practices."