Group ex classes are a whole lot different (and more fun) than going it alone on a machine. You've got company, some friendly mock-competition, a live person telling you what to do with the intensity. Try it!
As for what to wear, it's been an awfully long time, but honestly, I always preferred cotton T-shirts when riding rollers/trainer. You won't need the pockets of a jersey... and you'll sweat a LOT. Even if the facility has a good fan, there won't be nearly the air movement there is on the road. Your upper body won't be moving around enough to chafe, and you're not going to get cold (the two main reasons for avoiding cotton). So my choice was something that would just grab the sweat and hold it, and as much as possible keep it from dripping everywhere on the floor, my shorts, and the bike. Now, if you plan to do any strength work or whatever before or after the cardio, then you'll want a more gym-appropriate top.
Definitely you'll want cycling shorts and whatever lube, if any, you use on the road. The bikes may or may not have double-sided SPD pedals, so if that's what you use, find out whether you can wear your own shoes. If not, wear the stiffest, thinnest soled shoes you have.
If the facility doesn't provide sweat towels, bring three. One on the floor on each side of the bike, to catch the sweat puddles on the floor; and one to lay across your handlebars or top tube to wipe as you need it.
It's possible your gym may allow you to bring your own saddle (attached to your seatpost). If I were you, I'd try it first on their saddle, but if it's very uncomfortable, ask about bringing your own. If you do bring your own saddle, be aware that the seat angle on the spin bike may not be the same as on your road bike, and that could mean you'll need to change the tilt of your saddle.
Speed comes from what you put behind you. - Judi Ketteler