I forgot to mention Midna's skin.
I used a dancer's leotard with arms, and added a single black legging to the left side. Thankfully I have a friend who has A LOT of experience sewing and altering leotards, so she removed the stomach and back of the leotard.
I then use a blue body paint over my skin to create the black and blue pattern Midna is so recognisable for :)
I know another method a lot of people use, and that is a full body suit. You can buy body suits off Ebay in all sorts of colours for a decent price. The only difference is you paint the black and blue detail on the body suit, not your skin. Check out pattasy on YouTube for a tutorial on the body suit, and other things :)
http://www.youtube.com/watch?v=8oYZN0eEGB0&list=UUDDSiezGjXIjaGuBeHu9XwQ&index=15&feature=plcp