i had this same problem for a while. in trying on tons of ankle socks, i finally settled on these:

http://www.underarmour.com/shop/us/en/mens/apparel/underwear-and-socks/socks/pid1216605-Men-s-AllSeasonGear-SoLo-Four-Pack/1216605-001

black underarmour no show socks. the best ever.
get rid of those unsightly white socks. after finding these, i got rid of all my white costco socks and replenished my sock drawer with these. perfect for everytihng. running .. biking.. etc..

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Footlocker, you can always find a good pair there.

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SmartWool makes the most comfortable socks, and they last a long time. The come in a variety of colors. They are a bit pricey, but you won't get blisters.

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You should be looking for a pair of bike socks. Ankle cut and you can always find them in a ton of designs; they're pretty comfortable too. Go to any bike store or check some out at Nashbar

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In a pinch, I ran into the local Target store and bought a pair of teens' socks. It stretches just enough to bring the mouth of the sock lower, and out of sight. Worth a shot - if they don't work... use them as golf club covers (will cover up to 12 clubs)

Boys' C9 by Champion® Ankle Socks 6-pk. - White

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footjoy makes amazing socks, especially for golf, but in general they are very comfortable.

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Smartwool. Best socks available. Bought 10 pairs for Afghanistan.

Keep your feet cool and dry.

http://www.rei.com/product/767170

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If you're looking for sport-specific socks, you really can't get better than Thor-los

I wear the Micro Minicrew as a first layer under my game socks, and they last for years.

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If you are looking for ones that are not for sports. Give these a try my brother has several pairs. It looks like your not wearing any socks, when you really are

No Show Footies

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