Just as you would find in almost any profession in the service industry, gratuity is typically something that a massage studio or therapist expects from clients. Despite this, there are many aspects to the expectation of tipping that I don't agree with on a personal level which is why I've opted to go with a No Tipping policy in my practice. 
One of the most important aspects to a healthy client/therapist relationship is clear, open communication but the subject of tipping and gratuity is often considered taboo. And, while gratuity should be and most often is intended as a little bonus for a job well done or great service, at many studios and practices the session compensation for therapists makes gratuity less of a bonus and more a necessity for earning a living wage.
It's also no secret that good massages are typically not cheap. Plus, massage is something that works best for most people on some sort of semi-regular routine. That extra $20-$30 dollars that is *nudge nudge* "Not expected" *wink wink* after every session can really add up over time. 
Considering all of this is what ultimately led me to my decision to go with the No Tipping policy in my practice. All my rates are as advertised, as are my session times...but that I think may be a post for another day :)

"Undress to your comfort level". Though this is a common phrase in the massage industry, and long time massage clients generally understand what to expect and what's expected of them going into a session, for those newer to massage it can be a confusing directive. And, because leaving on certain articles of clothing, jewelry, or accessories can possibly limit treatment options or  hinder the flow of the session, it is definitely something you don't want to be confused about! 

While there are several massage techniques that can be done over clothing, in what most would consider a traditional massage, the client undresses completely and is covered by a sheet and blanket for the session. Any Massage Therapist should be well familiar with Draping; a technique of folding and tucking the sheets to allow access to arms and legs for massage while protecting the client's modesty. Draping is something I take very seriously as that feeling of comfort and security from being properly covered throughout the session is crucial to achieve any effective amount of relaxation. 

In some cases, though, no amount of professional draping or familiarity with massage will be able to overcome the fear or anxiety that some may have being completely undressed...and that's OK! As I said, comfort and security are vital in massage so if leaving on undergarments or other articles of clothing is what feels safest to you then that will always be your best option. Regardless of what your personal comfort level happens to be, chances are there are some massage techniques or modalities that work for you and will help address your needs.