A good, supportive pair of sneakers is most important. A good, all around shoe is a cross-trainer. Some excellent brands include Nike, Adidas, Reebok, Avia, etc. Usually a good shoe will last 6 to 12 months, then it's time for a new pair.
Refrain from wearing heavy sweat suits or cover-ups that trap heat in. Layer clothing if it is necessary to shed clothes as your body temperature increases.