For most spa treatments, you can keep on your swimming costume or underwear. If you are having a back massage, you can wear knickers. Some treatments, such as Reiki and shiatsu, are done through your clothes. If in doubt as to what's expected, ask when you book your treatment.
For a full-body massage, you can opt to keep your pants on or go completely in the buff. You'll find that most therapists are very skilled at protecting your modesty and making you feel comfortable; you'll never have to uncover anything you'd rather not.