This is actually going to be my costume this year (aha!)
Because Jareth has several looks in the movie (all of them sexy, if I do say so) I felt it was wrong to only do one. Both costumes are pretty basic, and could be made with just regular everyday clothes, but the hair and makeup make it a costume.
The 'a' look (end of the movie) is extremely simple, black full length leggings, black leather jacket, black leather gloves and black mid-calf/knee-high boots.
The 'b' look (middle of the movie) is only slightly more complicated, a white ruffle front shirt with an open black vest, grey full length leggings, black leather gloves, black mid-calf/knee-high boots (grey boots would work in this costume too) and, if you wanted to get really correct, a thick black belt around the hips
Jareth's hair and make-up stay the same throughout the movie. The hair would be really teased on top, and stick straight. If you don't have blonde hair you might have to go buy a light blonde wig. Rather than explain the makeup in text, here's a video (that I did not make) for makeup: http://youtu.be/hE8O3fwfvI0