M.I.
my nearly 5 y.o. doesn't sleep in anything but his underwear. it's been this way for almost 2 years now. i can put him in PJs at 6PM, but the minute i go to kiss him goodnight after his stories, he asks for his clothes to come off. actually, he spends most of the evening, if we are at home, in only his underwear. i wouldn't worry too much, as long as he stay dressed in public or when people other than family are around.
and as a side note, by 14 year old brother in law was the same way (no clothes but undies at bed and in the evening) until he was almost 8. so, it seems like it's a pretty normal thing for the little guys to do!