I wear run-of-the-mill exercise clothes--running shorts and a wicking t-shirt during warm weather, and add thermal underwear as it gets colder. My commute is about 11 miles one way. You don't have to spend a lot--I got most of mine at Target and Walmart. I bring my work clothes with me and change at work after cooling off.

Read through the advice for new commuters sticky. Good advice about commuting.