Who doesn't want to look great while they get in shape? Pilates was done in the olden days in a snug leotard or next to nothing. This allowed the instructor to see more of the body without distracting clothes since alignment is a key part of the method. Today, however, there is more to pick from thanks to fashion (even down to grippe socks).
Some popular picks for clothing at stores include Lucy, Lululemon, and Nike.
I personally shop at Victoria's Secret (VSX sport collection), Target (can't go wrong with good deals on accessories), Old Navy (creative tops/basics), and Forever 21 (affordable/stylish hoodies in any color).
When selecting a shirt make sure it covers you body enough (including the back and bust line). Layering can be a good option just as you would for a dance class to ensure your body stays warm throughout. Pants work best to form a long line with your leg. If you go with shorts make sure they are snug and nothing hangs out (mirror check!). As I mentioned before there are socks with grips on the bottom to assist in helping you foot stay put, but bare feet is traditional attire (show off your pretty nail polish or toe ring). Make sure the fabric of your clothing allows your skin to breath since exercises such as Rolling work to remove toxins from the body. As far as accessories go less is more. No dangle earrings or long necklaces (you will regret it later during Jackknife or Boomerang).
Overall, have fun with your wardrobe! Mix up colors and play with layers. If you have cute clothes you will be sure to show up for your workouts and have a better self image.