It all depends on the casting director. I've never professionaly auditioned myself, but I've worked with many (musically), and it all depends on them.
Some don't care if you show up naked - as long as you audition, that's all they care about.
Others (more pompous ones) find it insulting that you would audition in their presence in anything less than dressy.
Personally, I say wear whatever shows your personality.
"If you are going to do something, do it well. And leave something witchy."
-Charlie Manson