The improved materials for sports are great for making your exercise more enjoyable. Look for end of season sales if you have sticker shock and remember you will wear them more often than "regular" clothes so they end up being worth the cost "per wear." Hang dry (especially chamois bike shorts) and avoid dryer sheets that will reduce their ability to wick sweat away and reduce the lifetime of the product.
Spandex, lycra, and more advanced materials are names you may see when you shop. If you enter a race, often the pre-race expo will include good products at reduced prices - but DO NOT try a new piece of clothing for a long race or it may rub! Look for reflective material if you exercise in dark.