Nothing you don't already own:
Comfortable exercise clothing you can move freely in
Supportive trainers (not bare feet, sandals, or dress shoes)
A bottle of water
A small towel, if you sweat heavily
There's no costume, no special footwear, and nothing you need to buy in advance. If your hair is long, tying it back is worth doing — it's one of the small, reliable signs of a genuine fitness-focused class rather than a performance one.