Am i supposed to jog on the road?

Well i don't usually jog and i got the urge to start jogging daily now. I usually see people jogging in the side of the road and well i was wondering is that like sonething i should do or is it ok to jog on the sidewalk. Do people jog on the side of the road because other people get in the way on the sidewalk? Also what are some good shorts to wear when jogging and should i wear an undershirt?