Depends on the class. If it's a children's group they may like to give you music to play so it's stuff the children know. If it's a show rehearsal, they'll obviously want the music they're using in the show. If it's classes at a higher level, improvising is fine.
However... the single most important thing is something with nice strong beats. You usually have to hammer out the strong beats in every bar - you are primarily there to help the dancers keep in time, they're not really interested in what tune you're playing. Equally pick pieces that lend themselves to that. Syncopated jazz rhythms without 'obvious' beats are bad.
Learning a few of the basic ballet terms wouldn't hurt so you have a vague idea what they're doing. Most experienced teachers will give their class the exercise and the most direction they'll usually give you is how many beats in a bar they want.
I work in theatres and know a few ballet pianists... they play all sorts of stuff. Carols at Christmas, nursery rhymes, songs from musicals, famous classical pieces, TV themes, pop songs... I have a very fond memory of seeing a professional ballet company working out to the strains of 'Skippy the Kangaroo'...
There are books of 'suitable' ballet music available... but once you've got bored of that, as long as the teacher's ok with it you can make it up as you go along.