Personally I hate the hollow sound of many laminate floors. This is, IMHO, exacerbated by the use of foam underlay where the tiny little bubbles act as echo chambers and multiply the noise out of all proportion. I much prefer to use a rubber based underlay which provides comfort as well as smoothing out any irregularities in the sub floor. These can also be procured with a built in moisture barrier for the circumstances that Grant suggests.
But, to answer the question, yes you must have an underlay for laminate.
If you are going for wood I'd recommend engineered rather than solid. Solid has to be fixed to the sub-floor either by secret nailing (very difficult with concrete) or by glueing it down. In the case of wood over concrete a liquid DPM should be applied first. Engineered flooring can either be glued direct (with a DPM) or floating in which case it should have an underlay as above.