king_james_number_6
Fabric, above your knees. Find some on: www.ebay.com

Criss C
um eww!

justamurph
When I ran ours were about mid-thigh maybe a little lower. You might not be able to find some really cheap, if you don't like ebay try the suggested link.

Adam W
You may not need "compression" underwear, just something of a similar material. Compression clothing is designed to do just that, compress the muscles. Often it is recommended for medical reasons related to muscle issues. Try looking for material that is Dri-Fit (or any variation). Materials that wick away moisture from your skin. There are a ton of different brands, ranging from Nike and Underarmour on the expensive end to Athletic Works (Walmart brand) and Champion (available at most places, I'm sure Target has them though). I personally prefer the Champion stuff, it seems to do the best at pulling the sweat away from your skin and helping control temperature. As for how long they should be, buy what fits. I prefer the boxer-brief style for running, as this provides plenty of contact with my skin to remove the sweat while still being comfortable and not looking like briefs. Good luck, happy running.