Yes. I have tried the ones you can buy at CVS. I did not like them. I only wear pull-ons for playing sports, otherwise they are not absorbant enough for me for everyday use. Plus, the Tenas just didn't fit me well. However, everyone is different.
I have purchased both the new Depend and the Tena men's underware. They both worked well at the gym. The tena runs small so go one size up, and the Depend runs large so go a size down. The Tena looks more like underware for the gym though.