Seriously, why aren't Grey aliens ever shown wearing anything? I can see not wearing pants, because any advanced civilization would have long since learned that wearing pants is an impediment to fun, but seriously, something. Advanced civilizations require pockets! Maybe a bandoleer with all their PDAs and expandable starships on them or something.
I'm helping!
Sort of.
Or maybe I just think the Protoss are neat.
Yep. Probably that.
Honestly though, Alien Alley might be a good place to browse.