I found an article on a store that is introducing underwear in different shades of "nude". I don't know if any other UK stores do this (I haven't looked), but I suspect not since M&S wouldn't be trumpeting their introduction if that were the case.
Looking at the pictures, I'd say my skin tone falls somewhere between the two models on the left. I'd guess my current nude items are somewhere between the two middle women; I can't say I've ever noticed a problem with my underwear showing through though. Even if I were interested in buying some of these new shades, I wouldn't be able to since my size doesn't fall within their range (I'm a 28F).
So, do you have a choice of nude shades where you shop? Do you think it makes a difference to your underwear showing through, or does it make no odds as long as it isn't white?