I wear Ryka Studio Flex Lows for all of Cathe's step/cardio routines. I find they have enough cushion and lateral support, lots of toe room, and they breathe fairly well. (However, everyone's feet are different.)
I go barefoot for almost all weight work because it's just more comfortable for me (my feet can breathe), and I get to strengthen all those little (neglected) foot muscles. Not sure if this is good or bad, but I feel my form doesn't suffer and I'm usually on carpet.
I only keep my Ryka's on if I'm going to be doing one-legged squats/elevated squats or leg presses on the step. Even then, sometimes I just prefer to cover my step with my yoga mat to make it a more comfortable surface for bare feet.