Hey there....
You're at the gym, so the sweat thing is almost unavoidable. Yes, comfort is important, but depending on the type of class that you're taking, baggy oversized clothes can be of disservice to you!
Proper body alignment when exercising is key - if you don't pay attention - you can hurt yourself AND in some cases, why even bother doing the exercise if you're in the wrong position? You cannot see yourself in the mirror and the instructor sure can't.
BUT, if you're just jumping/bobbing around, no matter. Enough for the "lecture".
Target is a good recommendation, as well as Danskin (they have a website) and Lulumon (sp?) is relatively new some parts of the US - I just heard about it a couple of months ago. Clothes do the wicking thing, so no evidence of sweat.
And yes, I am one of those that wears tighter fitting pants and a top because
1) I sweat A LOT and need to be cool
2) body awareness