For beginner classes, just comfortable clothes and shoes. Women may want to wear heels, but this is not required and height should be limited to below 2″ or they will make it significantly more difficult to learn.
If you get more serious, you may wish to invest in a proper set of latin dance shoes. These are designed to allow freedom of movement, while also subtly guiding your body’s mechanics into the proper form. Latin dance shoes will generally be soled in suede leather to allow their wearer to do turns and spins more easily.