The long and short of the matter is, it really doesn't have to be that way. Good exercise gear goes a long way toward making you comfortable and getting yourself out of your own way. I have some recommendations, based on my own experiences. Here they are, in order of importance.
1) A GOOD SPORTS BRA. I am a 36DDD, so I speak from experience here. This is a must, and it will make an enormous difference in your comfort level. "Good" depends entirely on the sport. For anything at all high impact, such as running or tennis, there's only one word: ENELL. Yes, they are hella expensive, ugly, and hard to put on, but once you do, NOTHING MOVES. Yep, it's true. For lower impact sports like cycling, yoga, racewalking, and such, I love Moving Comfort. I love Moving Comfort so much, I wear them for everyday undergarments. These two companies took me from painful bruising to not thinking about my boobs at all during exercise. If that isn't a ringing endorsement I don't know what is.
2) SHOES THAT FIT YOUR PERSONAL FEET. For the love of all that is holy, please. Do NOT go to a discount shoe store and stick your feet in the cushiest shoes you can find. Do NOT go to your local mall's Lady Foot Locker. Those people know bupkis. Instead, go immediately to your local running store and tell them what you intend to do with your feet (walk a 5k? run a trail marathon? skip to the grocery store three times a week?). If they don't assess your gait, find a store that does. Once they've listened to you and watched you walk or run, they should bring out a number of different shoes and let you try them on and do your thing in each of them. If they don't, find a store that does. Then, pick the shoes that feel the best on your feet out of the ones they've recommended. Buy them; price should not be an issue, as good shoes will make or break you. Once you've found your shoe, buy new ones every few hundred miles.
3) DRY WICKING SOCKS. Do you know how much sweat your feet put out daily? About two tablespoons. If you wear cotton socks, that water will stay near your feet, keeping them cold, damp, and prone to blisters. Do NOT wear cotton socks. Get some socks with dry wicking capability.
4) COMPRESSION CAPRIS OR TIGHTS. Now, I know what you're thinking. "Spandex? On my ass? No thank you." I ask you to reconsider. There is nothing worse than shorts creep. Except for maybe chafing between your thighs. Neither is pleasant, you'd agree. I have yet to have a problem with either since I invested in compression running capris. C9 by Champion (available at Target) are reasonably priced (twenty bucks) and work reasonably well for the novice run/walker. Again, no cotton. Cotton kills. If you live in fear of people seeing your butt jiggle, layer shorts over compression capris or tights if you must. Me? I don't give a rip.
5) TECHNICAL TEE. What's wrong with an old cotton tee? Go walk/run ten miles in one in 70degree weather and then get back to me. They get clammy and heavy and the seams can cause underarm chafing. (Ask me how I know). Technical tees are available for not much money (ten bucks) at Target. They make you so much more comfortable. Consider it an investment in yourself.
6) HYDRATION SYSTEM. This can be as simple as a handheld bottle with a handstrap (2 bucks at WalMart) or as complex as a hydration waistpack (fifty plus bucks), but you will need to replace fluids. As they say in the Army, "hydrate or die."
Really, that's what you need to avoid unnecessary pain and suffering while exercising as an Athena.