Assuming this is a full physical, I'm completely nude from almost the very start to the very end. For example, here's what happened at my most recent physical. The nurse takes me back and goes over history/meds first. When I entered the exam room I noticed that a gown was already out and sitting on the pillow of the exam table. They use cloth gowns and it was individually wrapped in a plastic bag. After doing the preliminary steps she tells me to "take everything off except my boxers, put on the gown so it opens in the front". As she begins to leave she states that she will be right back to do my EKG. I casually tell her that I actually hate gowns, and don't understand the need for them, so I won't be bothering to put one on. She says "that's fine if you're more comfortable that way" -- the sign of a very good nurse as far as I'm concerned.
I strip down to my underwear (white briefs, not boxers as she assumed) and wait for her to return. She comes in, makes some comment about "so you really didn't use the gown" as if she didn't believe me earlier. My reply is "I told you I really don't need the gown" or something like that. She has me lay back as she attaches the leads. I'm now laying there in just my white briefs as she does the EKG.
When she finishes with that and as she is about to leave I hand her the unopened gown, telling her again that I don't think I'll be needing it. She tells me that she'll leave it with me in case I change my mind, or in case my doctor wants me to put it on. I tell her that I will take a paper drape if she has one, saying that I like to use one of those just to cover up while the door opens and closes. She agrees and hands me the drape.
Once she leaves, I stand up and pull off my briefs, putting them on the chair on top of my other clothes. I'm now fully nude and stay that way until the doctor finishes with the entire exam. Taking a seat back on the table, I put the small paper drape over my waist area -- just to cover myself when the door opens and closes.
My doctor arrives and begins by sitting down and going over my meds and history again. As she approaches me to begin the hands-on part of my physical, I set aside the paper drape, saying something about "I don't really need this now that the door is closed". She agrees and begins the exam. When it's time for the traditional male parts of the exam, I stand up in front of her (she's now sitting on a little stool pulling the exam gloves onto both of her hands). Then for the rectal and prostate exam, I get on the exam table on my knees and elbows.
So that's it. Nude from almost the very beginning to the very end. I've done it this way for some time now with a few different doctors and it seems to work out just fine for me. And so far, I haven't run into a doctor that really objects to it.