Whatever you feel comfortable in! For aerial classes we suggest wearing a form-fitting shirt that covers your underarms and form-fitting pants that cover your knees.
For pole classes, beginners can wear long leggings; 3/4 leggings are also nice so you have a little skin to grip. You can also feel free to wear knee socks, and/or knee pads for floorwork. You should not wear any lotion on your hands and legs. Sweating will release the lotion back to the surface and you will be sliding off the pole.
Be sure you have a safe place for your rings, bracelets, and valuables!