The "best" underlayment depends on the planned usage of the room. You
do need it, but if it's just for a kids room or a gaming room you can just use the cheapest foam underlayment you can find. If you need a quieter floor (for a bedroom or something) use Silent Blue (tm) or similar underlayment.
For those concerned about being green, there are a few manufacturers of cork underlayment which does work well (although it is expensive).
"Why is the only time I'm right have to be when I realize I'm wrong?"
~Nathan the Stout