The answer to that question will depend on the type of massage you're having.
For treatments that don't require you to get undressed; it's totally up to you what you wear, but I'd recommend loose, comfortable clothing. For Reflexology you'll need to remove your socks, and if you can roll your trouser legs up a little bit that would be great. For Indian Head Massage, it's ideal if you have a strappy top where you can easily pull down the straps.
Normally, for a Swedish, Deep Tissue, or Pregnancy massage you'll undress down to your underwear. Most women remove their bra, but if you want the extra support, or if your breasts are a little sore, you might want to leave it on. I'll always step out of the room to give you some privacy to get changed, and a towel to cover yourself with. If you think you'll need a little help getting on or off the table, for example if you're pregnant or have some mobility restrictions, you might want a robe to wear while you're getting settled.
Don't want to get undressed? That's absolutely fine. Just let me know what you'd prefer. Don't forget that every single massage is tailored to you, so, if you'd like to do something differently, that's OK. So if you'd prefer to stay fully clothed, you can still have a great massage.