Excellent idea, if you ask me. It was quoted by Peter Hurley in an interview. It's such an important thing that you wear what you love to wear in your headshots, because it will make you confident and happy.
Don't ask a makeup artist or someone else to tell you what to wear for your headshots because it won't get you as good results. You might not feel as happy and it will show in the headshots.
Remember that in order to get successful headshots, confidence must shine through in all of your headshots. And not staged confidence either. Natural confidence is what you need to make a great headshot.
When you bring clothes, think about your favorite things to wear, but make sure they are decent looking. Don't bring a sweatshirt or your pajamas!
I have two main rules for headshot clients who come to me:
1. Don't wear white, especially for outdoor shots.
2. Don't wear plaid or wild patterns that distract from your face.
Other than that, bring your favorite clothes, and something that will bring out the character you intend to play! It will result in getting excellent instant headshots!