always wear socks. HECK yeah.
Asics dryweave double layer socks rock. Run/Bike never blisters, never wet. I think they are Coolmax or Dryweave or somesuch. The dual layer keeps the rubbing on the socks, not the feet. For Tri's, you can keep same socks for the run so only one change.
Not cheap though, like $10 for 3. I'ev heard you can get them online for $1.5/ea but haven't looked lately, I haven't worn any out yet.