I would always wear the style of Loin cloth they wore in Jason and the Argonauts. I would buy oversized shirts from a thrift store and adjust the with scissors.
I just wore them around my apartment.
I've mostly used cotton lycra or jersey-knit fabric (t-shirt material). It stretches nicely, and the subtle ribbing makes an easy guide for cutting a long, straight edge, if I'm careful.
Style has either been a breechcloth with a belt, or a longer cloth wrapped around and tied in back. I've described both at www.aaronofmpls.com/lc/.
Mostly cotton or linen.