Because of the risk of rape, upskirting via wind or people, and those sickos who take pictures up girls skirts. There is also the misconception that a skirt (especially a short one) is slutty and bodes as a ticket for harassment, so I myself also wear spandex shorts under my skirt for these reasons. Plus, it's more comfortable than a tiny g string.
I do because I don't feel comfortable without them. If you sweat too much your legs could stick together or I'm afraid that somehow someone will see up my skirt or dress. I even wear spandex under fancy dresses. I wore spandex under my prom dress too.
Heck yes i do! Some girls (me for instance) are all that fond of wearing dresses or skirts. Therefor i'm really self-conscious of people seeing my underwear and such. Wearing spandex or shorts conceals and fixes that worry. Sitting in a lawn chair? Not worried. Super windy day? Still not worried. Wearing the shorts and spandex under a dress cuts my worry of embarrassment down a lot, and i'm a lot more comfortable.