I was VERY worried about this during my last pregnancy and had a mild panic about being completely starkers while giving birth. In fact, I think there was a thread on here about what to wear (about a year ago) - and between us we came up with a plan to design a wetsuit type outfit, with a flap that could be opened just before baby popped out 
In reality, I went through most of labour (in birthing unit) wearing a vest top & loose tracksuit-type bottoms, plus underwear and socks.
I ended up getting transferred to hospital, and i THINK the bottoms came off when doctor first did an examination, then i can't remember putting them back on
- was always covered though by a sheet, perhaps I kept my knickers on? Wow, it's only 11 months ago too!! 
While actually giving birth I kept my vest top - and socks! - on. Socks were also not intentional, but it seemed pointless removing them by the time i realised! The midwife was very proud of herself & me for keeping my socks clean!!
This time round, I'll just keep on whatever I'm wearing at the time - as I'm due in August it will hopefully be a vest top again!