This really depends on your comfort zone. Anything supportive, possibly back and or wrist braces depending on your activity. As exercise makes you sweat, loose absorbent material is preferable. If you are dead lifting, take care in selecting the proper well balanced shoes so that if the weight causes you to loose balance, you won't injure your legs or ankles.
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A leotard and no socks (but if you like to wear socks, i'm sure your teacher will let you) You should have your hair pulled up.