When exercising, wear proper-fitting, moisture-wicking clothes, such as those made with synthetic fibers. Don't exercise in cotton. Compression shorts, like the ones worn by cyclists, may help reduce thigh chafing.
Also, less is more when it comes to dressing for exercise. If it's warm outside, you might run without a shirt if you're a man or in only a jogging bra if you're a woman. And choose exercise clothes and bras that have smooth seams to avoid rubbing.