When I went paintballing, everyone was wearing one piece suits on top of what they were wearing. Standard issue camo. So if you're going to a place like that, it doesn't matter what you wear underneath - except when it gets really hot.
I'd personally check what the dress code is, so you're not over dressed or under dressed. Otherwise, just wear something that you're not worried about getting dirty.
layers! You want to wear something that is going to keep you warm, but seeing as how you will be being active you need to be able to take off layers. Layers also help soften the feeling of being hit by a paintball. Don't wear anything too bright, because it will make you easy to see. Wear clothes that you don't care about too much, because they will get dirty. Wear clothes that are easy to move around in.