If your going to watch a favorite hockey team play, wear the team's shirt, hat, jacket or any other accessory showcasing the team's logo. Alternatively, wear the team colors to show support. For example, Los Angeles King's fans wear the official team colors: black, silver and white.
Opt for a pair of nice jeans and a comfortable sweater. Don't forget to bring a jacket. It can get chilly.
Even if you are not sporting the teams logo, then just follow a few basic rules of what not to wear to a hockey game. Stay away from shorts and tank tops, since the room is filled with ice. Women must not wear heels or sandals. Heels are rarely appropriate for a sport's game, unless your sitting court side at a basketball game, as a famous pop celebrity.