Plan 7 of 9 from Outer Space. Captain Proton tries to arrest an alien abductor for murder, kidnapping, reckless endangerment, and public indecency. "Why do non-humanoid aliens go around without clothes anyway?"
Chewbacca is probably the most well-known example, though he does solve the pocket problem by wearing a Badass Bandolier. He's also covered in enough fur that protection from the elements is a non-issue.
Hutts are always shown undressed, despite a lack of natural protective covering. Hutt hides are thick enough to shrug off blaster fire, though.
Averted with Paul from the 2011 comedy, who wears cargo pants hiding a Gag Penis.
Pretty much all the aliens in Animorphs, except for some Yeerk hosts who wear minimal clothes to depict rank or faction. When Elfangor first met humans he was actually freaked out by Loren taking off her shoe, since he had assumed that was her actual foot. Ax has trouble understanding why he has to wear clothing while morphed as a human, and frequently refers to clothes as "artificial skin" and shoes as "artificial hooves."
Possibly Justified: When Elfangor asks Loren and Chapman about clothes, Chapman explains they wear them so that they can live in less habitable parts of Earth. The idea puzzles Elfangor, implying Andalites just never bothered to colonize parts of their planet other than the grassy fields they're comfortable in.
Lampshaded in one of the Sector General novels, when Dr. Conway muses that he should be able to easily find the Earth Humans among the crowd at the space station's "beach" by the fact that only they would be wearing clothing.
The Martians of Edgar Rice Burroughs' John Carter of Mars novels are confirmed nudists, despite the harsh conditions on Barsoom. Dejah Thoris, in her first appearance, is described in these immortal words: "She was as destitute of clothes as the green Martians who accompanied her; indeed, save for her highly wrought ornaments she was entirely naked, nor could any apparel have enhanced the beauty of her perfect and symmetrical figure."
In Turtledove's World War series of books, the Race never wears clothes. Their idea of proper attire is to cover themselves with body paint. Somewhat justified in that the planets they had visited before were very, very hot, like their home star. Example: their polar regions on Home (the Race's home world) are famous for going down to sixty degrees Fahrenheit. They are utterly unprepared for Earth's far chillier climate, and suffer greatly in their campaigns in the USSR and America during the winter months.
In the follow-up Colonization series, the lack of clothing also causes problems with the Race's subjugation of Muslims, especially once the Colonization Fleet arrives, and females of the Race start to show up (although it's difficult for humans to distinguish Race males from females). One Muslim man asks a couple of Race soldiers (males) why they allow their females (and males too) to walk around naked. After all, aren't their minds constantly busy with thoughts of sex? The soldiers laugh at the notion (they only mate during the females' season and don't think about mating the rest of the year). The Muslim man proceeds to mention how Allah frowns upon such thoughts, and the soldiers casually mention not caring what some fictional deity thinks. The man looks at them in shock and leaves. Violent riots start soon after.
By The Sixties, many younger humans (in warmer regions, at least) have started to wear the bare minimum of clothing, prefering Race-style bodypaint. In fact, some wear nothing at all. By the 21st century, it's common to show nudity on TV, and the most popular show on American TV is a gameshow where the assistant is a hot girl named Rita who wears Minoan-style clothing (i.e. fully-exposed breasts), and many women in the audience are also topless (and not all are covered in bodypaint). At the same time, the host of the show is a human-raised lizard named Donald who puts on bodypaint for the show that makes it look like he's wearing a formal suit.
Centaurs in Piers Anthony's Xanth series take pride in being nude, they see it as having Outgrown Such Silly Superstitions and generally confirming their superiority to the rest of the world. One side character in one of the books has to take on this attitude after having gone through a transformation in order to be with her Centaur boyfriend, with limited success.
Larry Niven's Protectors are transformed humans who've lost their gonads and gained enhanced intelligence. They put as much thought into protecting their groins as you do into protecting your armpits, and largely for the same reasons in addition to their skin already having hardened into a kind of biological armor. However, many of them see the value of carrying things, so they wear multi-pocketed vests.
Alf is smart enough to crack wise with the Tanners, but can't be bothered to put on a pair of pants.
Averted in later episodes when starts wearing clothes.
Stargate SG-1: The Asgard are highly advanced grey space aliens, but never wear clothes. They quite visibly have no genitalia, since they reproduce through cloning. Lampshaded when both Sheppard and Mitchell first meet them, and their primary concern is if they are supposed to walk around naked.
"Grey" aliens in The X-Files exhibit this. Except for the episode "Unnatural", when the Grey is wearing baseball clothing.
Odo from Star Trek: Deep Space Nine is technically naked most of the time, but since he's a shapeshifter it looks like he's wearing clothing and it's never really commented on.
In Spore, you can create an outfit for your creature after the Creature Stage. You do have the option of not giving them clothing but they will be weaker.
See the centaurs bit above? In Accidental Centaurs, when encountering civilization for the first time, Alex learns at his expense that not covering one's upper half is considered indecent exposure for males too.
Jix and other Ambis usually don't wear anything except for occasional battle armor. Leading to several "did you just pull that out of your ass?" comments whenever one draws a gun (canonically they keep things in subspace, just like their extra mass for battle form).
Gwen's grandmother in Ben 10: Alien Force. Of course, her entire body is luminescent. This actually seems to be the true form of all Anodites.
Several of Ben's alien forms also fall under this trope.
Frisky Dingo: Killface, the Villain Protagonist, doesn't wear any clothes and few people seem to mind. His son Simon does wear clothes, making it all the more bizarre. Played with at the last moment of the series, when Killface's family, dressed royally, comes to Earth on their spaceship. His mother gets mad at his lack of clothes.
Rivesh Mantilax and Seruba Velak, from the Doctor Who animated serial Dreamland.