Your Pilates class should be an enjoyable time, a time to focus on you, your body and a clear mind. So it is important to wear clothing that you can move easily and comfortably in. Sweatpants, shorts, tank tops, t-shirt or any other stretchy clothing will work best. It's always helpful if I can see how your body moves!, so tighter-fitting clothing is better. Loose or baggy clothing may reveal more of you than you are comfortable with! in some of the Pilates movements I teach, so tighter fitting is definitely best. You will be in barefoot or just in socks, so shoes are not needed.
I also tend to suggest that it is best to leave long necklaces or bracelets etc at home as they tend to get in the way and will interfere with your workout.