I take spin classes on a weekly basis, and I just wear my regular workout clothes - a sleeveless tech top and some workout capris. I sweat buckets when I do any kind of cardio workout, so I always bring 2 small (hand towel size) towels with me. I also wear a pair of MTB shoes with SPD cleats because it just feels more "natural" for me to be clipped in on the spin bike. I've never worn actual cycling shorts for spin class, since the classes I take are only 45 minutes and I always end up doing other stuff while I'm at the gym anyways and I'd rather not have to change (there is no way I could lift weights or do other cardio wearing padded cycling shorts). Oh and yes I do change into my normal running shoes after class. (: