TWENTIETH CENTURY Today's travelers are content in sweats, but in the 1930s they dressed to impress. So to outfit luxury-rail riders Alec Baldwin and Anne Heche for the Broadway revival of ''Twentieth Century'' (now in previews), William Ivey Long isn't skimping on style. ''She's playing a movie star,'' he says of Heche, who stars as Lily Garland. ''She has peignoirs, a teddy, two dressing gowns, a trouser look....'' Baldwin's costumes are less extravagant: ''I [wear] a suit and tie and a big overcoat,'' says the actor, who plays a Broadway impresario desperate to revive his career -- and his romance with Miss Garland. ''I spend the bulk of the play in pajamas.'' Guess '30s-era attire wasn't so different after all.