Just bring yourself!
I will provide all the equipment you need for the lesson. That said, many people like to work our on their own mat, so you may want to bring your own but I recommend seeing if you like it first! Pilates mats are available in many stores or online and they are often a little thicker than a yoga mat. Some people also like to bring their own towel to place under their head for support. You may also want to bring a bottle of water and it is a good idea to be well hydrated before you start class.