Literally! As someone with big breasts (10G) I feel very unsupported without a bra if I'm going to be doing any exercise. It hurts. Also I don't like the feeling of skin against skin when my breasts sag, especially given that only one breast sags currently since it's bigger than the other one.
Most "bras are torture" perspectives come from badly fitted, wrong sized bras. For example, did you know that most women are actually wearing the wrong size? The common perspective in the media is that "double D" breasts are very large, and most bra sizes don't go beyond a DD. Except actually most women who think they're DD are actually wearing too big a band size and should be an E or an F.
Once I was properly fitted for a bra my comfort levels increased enormously.