Ah-hah! In my free time I do some burlesque emceeing under the nom d' burly-q Sadie von Scrumptious.
Velma's ideas are all perfect. IMHO crowd-watching and the chance to dress up are part of the fun of going to a burlesque event. Some events have "Best Dressed" competitions, which can add to the pressure. Dress up in an evening gown or a retro-look dress or top/skirt. 1930s, 1950s, "Mad Men" are all great inspirations.
Some look ideas from a standard wardrobe:
* A little black dress accessorized with all those bits you never get to wear - fishnets, shiny evening clutches, fascinator hats, accent belts, evening gloves. If you don't have accessories, maybe a friend can lend. In the burly-q scene we are always lending each other bits and bobs.
* A pencil-skirt and a form-fitting jewel-toned sweater, with tall pumps and pearls.
Your hair and makeup are quite as important as your outfit. Hair should be "done"; makeup should be, too, including nails and toes.
Have a great time!