Some styles of massage are done directly on your skin. You may be asked to undress to your comfort level, however this is done privately and you remain very modestly draped under a sheet during the entire massage. The therapist will only uncover the body part they are working on at the time. Usually oil or a special cream is used on your skin so wear something that can go on after this.
Thai Massage and Tui Na Chinese Massage are usually done while you are fully clothed. Wear sweat pants or gym shorts and a tank top or something similarly comfortable and easy to move in.