I see plenty of men run in leggings when it's cold! The leggings thing I think is for a couple reasons: keeps you warm, wicks away sweat, reduces chaffing.

I wear this skort or shorts, a random over-sized t-shirt (the same t-shirts I wear to lounge around the house/sleep in), and injinji toe socks. I love that skort because it's the most comfortable thing ever: the legs inside have grippers that prevent it from riding up.

Wear whatever makes you comfortable!