You can get an underbust corset, that way it will fit no matter what size your boobs and it means you can wear a normal bra with it. I find them the most comfortable option for corsets. Wear a little top under the corset if you don't want to show your bra off! Traditionally with burlesque you'd just wear knickers, a garter belt and stockings under that. If you want to be less daring you could always wear a frilly skirt instead.
(Sorry about the large image. I'm hotlinking to someone else's picture)
Another option is a long slinky nightdress with high heels. Very classy!
Or you can wear a little animal print dress with stripper heels. Better still, an animal print dress with an underbust corset or waist-cincher and stripper heels!
Hope you have fun!