With regard to clothing... if I had time, I'd put on a pair of pants and sneakers. This has nothing to do with vanity or shyness, and everything to do with utility.
First, my spare tire does not hold spare magazines very well. I might want one of those... or a light... or a cell phone... or a spare gun. You get the idea.
Second, I can move faster, more surely, etc on my trail-runners; I'd rather have something on my feet, if surprised at close quarters.
Third, the police might be a bit unsettled by a naked man with a gun, when they arrive.
Again, this assumes that there is time. Since I usually have a pair of pants near the bed, and since my trail-runners have quick zip kevlar closures, that means the time required is pretty short.