A dressing gown, a bath robe. A garment one frequently pleasures oneself in after getting morning glory but before getting dressed.
Also, just as the Victorians would change into a 'smoking jacket' before enjoying a post-prandial cigar, in order that the smell of smoke clinging to their clothes did not later harm their chances of pulling the ladies, some contemporary gentlemen may prefer to change into their wanking jackets before bashing the bishop in order to prevent unsightly jizz stains from having much the same effect.
'I'd just had a particularly erotic dream about donkey punching Mariah Carey, so when I woke up with my usual morning wood, I had to crank one out straight away. However, as it was an unseasonally cold day, I thought I had better put on my wanking jacket first, so as to prevent myself catching a cold.