From Halacha for Today Email:
What is the Halacha regarding wearing Tzitzis straight on the skin of the body and why you we wear it on top of a shirt and where can the Halacha be found?
Some Poskim are lenient and others are stringent and consider it a disgrace. If being worn as an undershirt specifically to protect from sweat, it is more problematic, as some Poskim say it then does not even require Tzitzis.
See Shu"t Rivevos Efraim Vol. 4 Siman 15 and Shu"t Teshuvos V'hanhagos Vol. 1 Siman 25