I tend to dress for therapy the way I dress for the office, since I usually go straight from T to the office. But I'm a grad student, so dark wash jeans are considered dressing up.

The one thing I avoid is red. The only time I ever had a therapist get significantly testy with me was when I was wearing red, which is apparently a high energy, even aggressive color. It was probably a coincidence, but since I have lots of other colors available, I figure there's no need to push it.