I'm not a big fan of lingerie, really.
I'd rather have my girl put on some of her trashier clothes, like some nice tight cutoff jean shorts, or those black stretch pants, and maybe a loose fitting shirt. Under that, it's gotta be either red or black, thong and push-up bra. If you can dance in stripper heels, all the better.
Start with some champagne. It'll loosen you both up.
The dance has got to be all about sex and teasing. Sit in his lap and rub your ass on him, running your hands up and down his thighs. Turn around and lean forward so your shirt exposes your breasts. Get close enough to touch, but don't let him. Unbutton his shirt and unzip his pants, but just leave it at that. If he starts getting too aggressive and not playing along, start putting clothes back on until he gets the hint.
Sit in his lap to take your shirt off. Rub your bare back against his chest. Stand in front of him, facing away, and bend over to take your shorts/pants off. Sit on his lap, facing him, to take your bra off, and rub your bare breasts against his chest. Leave the thong on, and let him take that off later, when you are done teasing
.
Maybe it's just me, but that's what'd really have me going, and going, and going...
If you've never been to a "gentlemen's club", I'd suggest going and getting some ideas. Chances are pretty good he's been to one, and you don't want to look too amateurish. Don't worry, he won't expect you to be as comfortable as they are doing it. This is one of those things where the thought really really counts.