I could never find any shorts with pockets big enough to hold my iphone. So I bought a Running Buddy. Basically the same thing as the Roo pouch but found that it couldn't hold the weight without pulling my shorts down. Then I heard about Sparkle Skirts with all their pockets. Tried one and I am never going back. Those things have serious storage in them! Two 5x5 pockets on the legs of the compression shorts and a 12" zipper pocket in the waist (or you can turn it around and wear it on the back). I never even feel my phone in my pocket! I have had a couple of panic moments where I thought I lost my phone because you really can't feel it! And they just now came out with a men's line, Spare Parts, that have the compression undershorts with the huge pockets under regular shorts. Not sure how many they have out yet but I know they have more colors planned.
ETA: They also make women's compression shorts and capris with all the pockets if you aren't into skirts.