I wear tri shorts and a tri top(bottom-explained above, top-kinda like a tight fitting sleevless bike jersey.....both matching of course). For the swim I also wear a wetsuit(depends on if the race is wesuit legal or not, in canada all of them are).

For the bike all I do is take off my wesuit, put on my helmet, and go(I mount my bike with no shoes on, because they are already on my bike). For the run, all I do is take off my helmet, put on my running shoes, and put on a vidor/hat, whatever I have for the day.