I just wear 'gym clothes' for my spin classes. Mainly because while I'm there, I'm also doing other stuff such as strength training, other cardio machines, stretching, etc...and bringing extra clothes to change into just seems like a PITA. My usual gym attire is a pair of fitted capri bottoms with a technical fabric top. Our spin classes are only 45 minutes long, so I don't feel the need to wear cycling-specific clothes for it...except for my spinning shoes, which I always pack in my gym bag on spin days.