Costumes are articles of clothing worn by most superheroes.
It is hard to define the first superhero costume, as often there are characters who may or may not be considered superheroes who wore notable costumes. Prior to superheroes were pulp hero, an many of them wore costumes and disguises, in order to protect their secret identities.
Though he did not wear a costume, the character known as the Scarlet Pimpernel would inspire many characters who would, as he kept his identity by both being elusive and unseen, as well as a master of disguise. Zorro was a character directly inspired by the Scarlet Pimpernel and like the Pimpernel had an alter ego. However, unlike the Pimpernel, Zorro needed to act in public, so created not only his dual identity but also his costume to avoid suspicion. He was often presented in all black with a black mask to conceal his true face.
This fashion of heroes wearing disguises and having dual identities continued with such iconic pulp heroes as The Shadow and The Spider. In many cases they wore heavy coats, hats and masks of some sort to hide their faces. In other cases, the character may simply have an iconic outfit and/or look that remained associated with them, such as Doc Savage's white shirt and kahki pants.
When Superman first appeared, he had a much more flamboyant costume compared to the many heroes that preceeded him, similar to that of a circus strongman. While many similar "mystery men" wore disguises, their suits often consisted of heavy suits and masks while Superman's was very brightly colored and didn't seem to be a disguise (ironically, his civilian persona, with a suit and glasses, was more of a disguise than his costume.) The Superman costumes and soon after, many other costumed superheroes appeared that were inspired by Superman and his popularity. Capes and tights, as Superman wore, became the standard look for superheroes.
The Golden Age
The majority of the superheroes of the era wore the kind of tights made popular by Superman. Other extremely common clothing included domino masks (for characters such as The Black Terror and The Spirit), cowls (worn by characters like Batman), and, by many characters emulating the mystery men figures who came before, fedoras and similar hats (The Spirit, The Sandman).