I started with wearing bike shorts and tank tops...sometimes athletic shorts and such.

I recently started dating a dancer (modern) and they have a lot more leeway in their dance class attire and she opened my mind to androgyny in dance attire (difficult thought for a 6'1 175# male who benches 250#).  From this I learned (and she encouraged) that I start wearing different gear and mixing it up a bit and reluctantly I did.  What I found is I take dance a little more seriously as I have an "image" to uphold now.

Currently for classes I wear a dance belt, knit multicolor shorts (typically women's clothes, but so are tights), tank top, sometimes leg warmers as I pulled/tore my left calf, and dyed my ballet shoes to match either the legwarmers or the colors in the shorts.  My shirts/tshirts are either black or white.  Unfortunately I dont wear tights...dont find them comfortable, but I do shave my legs/arms/belly and have for years so the look is really clean and different.

Also have some lycra jazz pants I wear until I warm up a bit and to and from class.  Also wear mens light long sleeve fitted sweater shirts with it.  I think the look is keen.

But by and large, nobody cares what you wear to class...wear what you are comfortable in and make it fun for you.