If you're not wearing anything, you're unclothed. It's fine to be unclothed when taking a bath, but modern society generally frowns on unclothed people going about their daily routines.
If you're unclothed, you can also say you're naked or nude, or that you're wearing your birthday suit. Most of us encounter far more clothed people than unclothed in a typical day, but there are plenty of places where it's fine to be unclothed, like locker rooms, your own shower, or in a doctor's exam room, for example. Visit an art museum and you'll also encounter unclothed figures — in paintings and sculptures.