You don't wear anything under your helmet, the helmet has padding on the inside that protects you. But, you might have seen so called "skull capps" that some people wear, usually the people that wear those are people protecting their hair style, or just to try and look cool. "Skull capps" are made out of elastic materials, and are pretty expensive most of the time, the only people that wear them on my team are the rich kids who buy them just because they looked cool at the store and they wanted to get one.
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Soccer players do not need to wear headgear. So, no specific brand is known. The brands are based on if they use it or not. Each member has his or her own brand they like to use.
They wear helmets to protect their head from concussions and severe head injuries. Also brain cells can't grow back ever.