I think a better way might be to flick through a catalogue with him and get an idea of what he finds attractive/sexy.. In my experience, guys just don't get on board shopping, and they have no idea how to pick lingerie because they don't understand what it will look like on. Flicking through will give you an idea of the colours, cuts and styles he likes, and you can make it casual and then surprise him with it after you buy it.
Maskofinsanity hit the nail right on the head! That's a fantastic idea. Guys just don't feel comfortable in the underwear section or like a Victoria's Secret store. Nope, no thanks lol. What is really important is how sexy YOU feel in the lingerie that you buy. If you feel sexy in the stuff you buy, chances are very good he will think you are as well.