They can wear just about anything.
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They are dancers who wear less of a costume than most men wear to the beach. See http://www.chippendales.com/
Typically, the female dancers in Swan Lake wear tutus. In Swam Lake they wear feathered headresses as well, and of course tights and ballet slippers.
sari
Ballet dancers wear Ballet Shoes which are mainly soft pink and sometimes have a ribbon to secure them
Cloths :P