Hi J.!
My stepdaughter has had this problem since around age 3 (she is 5 and a half now). It was a big struggle for a long time, we had a lot of fights, and I have a lot of 3T clothes that never got worn, but we have worked out a system now that seems to be working well.
Everything that I buy, I have her try on before I even take the tags off. If she says that it's not comfortable, I take it right back to the store. Even if it's something really cute that I like a lot, I’ve come to the realization that it's not worth the fight when it comes time for her to wear it. If she says that it is comfortable then I often go back to the store and buy more colors. Old Navy’s short and long sleeve t-shirts are great, for example, they come in a ton of colors, they have no tags and they wash very well.
I try not to spend any more than $20 on any one piece of clothing for her so that I don’t get so upset if she refuses to wear something. I explain to all of our friends and family who might be buying clothes for her that we very often have to return clothing, so please get a gift receipt so we can pick out something else that she finds comfortable. Anyone that would be buying her clothes just wants her to be happy and comfortable anyway, so they are happy to get gift receipts for us.
I also look for particular fabrics--- velour, cotton and fleece are usually good for her. For dress pants instead of stiff cords or kakis (which she hates) I get a few pair of black velvet pants every winter. She won't wear tights with dresses and skirts (I’m guessing your daughter won't either), so I buy leggings (the ones with lace at the bottom) and have her wear leggings with tall dressy boots instead of tights and dress shoes.
For shoes--- she hates having sneakers tied tightly, so I get Velcro sneakers or high top (converse) sneakers. The high-tops work well because I don't have to tie them as tightly and they will stay on. I get her tall dress boots instead of uncomfortable dress shoes. The boots are often lined with soft material, so they are more comfortable than dress shoes.
For underwear---I usually buy it a size bigger. She’s a size 6 now, so I buy an 8. they are tight enough to be sanitary, but the elastic is not tight on her body.
Good luck J.! I sympathize with your frustration!!