What clothing to wear for a Pilates workout is very much up to you. Comfortable exercise clothes that let you have full range of motion is fine. You don't need anything special. However, there are a few things to consider if you are going to a class at a studio or gym.
Most Pilates studios are casual. Keeping your attire simple, at least at first, will help you figure out what works best for you and what the norms are at your studio. One exception however, is fitness attire that is too loose. Baggy is a problem in Pilates as well as yoga classes because it can be too revealing, and because an instructor must be able to see your alignment and muscle use. If you are unsure about what to wear or about other standards at a studio, there is nothing wrong with calling or visiting to find out what other students wear.
A couple of extras that I want to mention are jewelry and scents. It is always a good idea to keep jewelry to a minimum when you workout. Bracelets, long necklaces, and even dangling earrings can be distracting or, worse, get caught in the equipment. In addition, many studios ask that students avoid wearing strong-scented fragrances or perfumed lotions. Even if it's not requested, it is a courtesy to other students to refrain from wearing strong scents.
Many people enjoy "dressing" for workouts. If you like fashion, there is no lack of fun to be had in the realm of workout wear. Clothing for Pilates and yoga is essentially the same, and the explosion of popularity of both disciplines has brought about a revolution in stylish exercise clothing. It is much easier than it used to be to find not only interesting clothes, but options that are designed for a variety of body types and needs. You can even find workout clothing made of antibacterial fabric or natural fibers, such as organic cotton and soy.