I use a Donjoy Playmaker on my right knee when I need to. Not all the time but if I ever twist/tweak my knee I throw it on for a bit of extra support. 20 years of Rugby has ruined my knees and this is the only brace I've found that actually provides some decent support.
I normally wear it over the top of my thermals if I'm wearing them, plenty of room under by pants. I don't think you'd have much luck wearing it under a pair of knee pads but it's the only type of brace that's going actually do something.