There are many different types of underlay available to you and they can be split into two categories:
a) Non breathable (1F bitumen or plastic)
These include bituminous and impermeable plastic products, and are generally seen as the more affordable of the two types of underlay available. It may not give you the best ventilation for your roof but it will be an effective second barrier against any water penetration.
b) Breathable (vapour permeable or air open)
Generally more expensive than the non-breathable option, this type of underlay provides both a barrier against water penetration and the added benefit of ventilation for your roof. There are many different versions of breathable underlay, and you get advice before choosing one for your home.