The most important thing to bring to a Pilates class is comfortable, form-fitting clothing. Loose, baggy clothes make it difficult for the instructor to see and offer direction to improve your movements. Shoes are not worn in Pilates since they restrict movement, but grip socks are worn to provide traction while using the machines.
In addition to proper clothing, most studios suggest you bring a water bottle, towel, and a Pilates mat which is similar to a yoga mat, but thicker.