I have very large breasts and my back tends to hurt without the support of a bra, so I wear one all the time, even at night. I sleep in a T-shirt, bra, and panties. I actually prefer underwire to sports bras. I find it offers more support and looks better too. I'm not sure why people say underwire is uncomfortable. I have never found that to be the case except if it pokes through the cloth, at which time I just replace the bra.

That said, if I had very small breasts, I probably wouldn't wear a bra at all.