Baseball players wear pants with a belt. But I really don't think it is the most appropriate or comfortable attire for playing baseball.
Is there any particular reason for this?
I believe they're required per MLB, but they're not explicitly mentioned in the rules, so I can't prove it. MLB Rules do mention in 3.03 various things, including that "No player whose uniform does not conform to that of his team-mates shall be permitted to participate in a game." However, they don't call out the belt specifically. I've seen a fair amount of speculation that players are required to wear them to avoid the shirt falling out of the pants, like here, but it seems like speculation at best from a content aggregator, so not particularly reliable.
Uni-watch does relate a humorous story involving belts that makes it pretty clear a belt is required or at least needed, though:
There was a slight delay as Washburn disappeared into the clubhouse to put on spikes and a jersey. He eventually re-emerged into the dugout while still tucking in his shirttails fore and aft. Just one problem: He’d forgotten to put on a belt. So Riggleman, displaying the kind of keen managerial acumen that only a man with a season-opening 14-game losing streak on his résumé can possess, took off his own belt and handed it to Washburn, who then held the belt while doing a bit more tucking, zipping up his pants, and trotting to first base, where he finally put on the belt.
I suspect the answer is mostly that baseball players wear baggy clothes (as opposed to every other major sport where more athletic, tight fitting clothes are worn) and thus belts are useful; and to a lesser extent that baseball uniforms more so than other sports are still somewhat similar to the early days of baseball, where not wearing a belt would have been odd.