It’s really up to the individual how much clothing is removed. Most swedish massage techniques use oil or lotion so skin-on-skin contact is helpful. However, the massage therapist can work around any clothing that you choose not to remove so if you’re uncomfortable taking off your underclothes then, by all means, leave them on. If you’d prefer to keep all or most of your clothing on there are options for that too. In fact, there are some modalities, like Thai massage, that are always done fully clothed as a matter of course.
By the same token, if you’d like to remove all your clothing, feel free to do so. You are always covered except for the specific parts of your body that are being worked on so do whatever feels right for you. If there are specific treatment areas that require special attention your therapist will discuss how to best access them prior to your undressing so there are no surprises.
Lastly, remember to mention if there are any body parts or areas that you would prefer NOT massaged due to sensitivity or ticklishness. Your wishes will always be respected as long as the therapist is aware of them so don’t be shy!! Speak up and have the best experience possible, every time.