I have been seeing a deep tissue massage therapist for over 4 years now. When I first started w/her I wore just white cotton undies (TMI!!) but after trust and comfort were built up I wore nothing - and she works much more efficiently that way. If it's just a spa package you are doing or a one-time thing--? then simple underwear is just fine. It's what works for you is most important as it's your treatment and time for stress release and relaxtion.
ENJOY. It's my favorite thing!