Wow, I seem to be in a small minority here. I always wear panties. Of course, we don't have on-premises clubs here, so it might be different if I expected to have sex right there at the club.
I like having my panties taken off of me when I find someone who motivates me that much. Not only that, but I don't like the feeling of going without. I get sweaty and gushy and I don't like walking around that way; it's just not comfortable and I'm liable to end up with red bumps (i.e., a rash). Dancing without panties on, at least when I'm dancing to dance and not to feel and be felt, is like exercising without them on and I wouldn't do that.
I guess I go even further: I'm uncomfortable without a bra or at least a dress that holds my breasts a little, like a halter or a shelf bra. Before we entered the lifestyle, I never realized that other women aren't uncomfortable going without. Finally I also realized that my nipples are very sensitive compared to many women. I simply don't like fabric rubbing against them... too irritating.
In general, I've always felt that underwear can be sexy. Going without makes one accessible. I'd rather be sexy but accessible to only a very few, especially since there are a few people out there who feel it's okay to be a little grabby.