First time I flew in BA F was also my first time being given PJs on a flight. I wouldn't have thought they'd be anywhere else where a normal person would change into them other than the bathroom. My dilemma was whether or not to keep my underwear on under the PJs. I usually sleep in PJs with no underwear (as it's not healthy), and in order to help me sleep I wondered if sleeping how I usually do (without underwear) would make it easier to sleep.
Perhaps that is a whole other thread...