Triathlon Gear

Getting ready to do my first Tri in a couple weeks. Been looking at what gear (clothing) will be best for me. I obviously don't want to be changing cloths during each transition. I notice everyone wears those compression shorts and tops. I am mainly looking at the shorts. I have some padded shorts I use for long bikes but I am not sure I want to swim and run in these. Do most people do Tri's in shorts without pads? Is there some difference in the shirts/jerseys then the standard Under Armour compression or fitted shirts?