With the exception of a few styles of massages, like a Thai Massage, you will be expected to undress. It is a matter of practicality; clothes can impede the massage therapist's ability to do their job. However, you will most likely still remain mostly covered during the duration of the massage, as massage tables are often covered in sheets and towels for you to cover up with and the coverings can be moved around as the massage therapist works on different parts of the body. If you are having a full-body massage, there may come a time when you are asked to flip over. When this happens, the massage therapist will lift the sheet being used to cover you, hold it up to block their view of you while you flip around, and then place it back on top of you.
Given that a massage is about providing you with a comfortable environment, you can keep your underwear on if that suits you better!
