There there are a few companies who make thicker tights to be worn in the way Stephen says, a sort of modern day equivalent to the knitted wool training tight I wore as a cyclist in my youth.
There have been campaigns started by a few men to encourage hosiery companies to make sheer tights for men less than 20 denier.
Hosiery companies always say there is not a big enough to make it economically viable, However it has been suggested that main hosiery companies like Sara Lee corporation ( pretty Polly Aristoc) do not want to enter this area in fear of discouraging ladies from buying there tights.
It has also be suggested that some hosiery companies like Wolford and levante are only too aware of this potenital marked and have delidratly and quiety increased there sizing to accomadate men.
I have more info on this subject here
http://inspiration-from-vintage.info/hosiery/pantyhose_today.htm