Yeah I would agree with the statement that the whole culture of hiding away our bodies and sexuality is very much a product of the Abrahamic (is that the right term?) and islamic faiths (possibly the hindu and others but I don't know enought about them), who have very strong views about such things. There are parts of the bible (old testament I think) where it talks about not seeing your brothers/sisters/parents naked. Apparently the KKK used this part for justifying their racist tendencies (not that this is true, they just read into too much). There might of been other religions that advocated this but they were either never organised enough or large enough to have a serious cultural impact.
I would lay the claim that organised religion in all it's forms was one of the major cultural influences on the western world, from the middle ages and still today.
At CrownofFire: Sure it may have been about not freezing to death, but you could make the case that religion lead to clothing becoming more than just a tool to keep warm. They made it a thing of modesty, to hide your sexuality and body was the right thing to do. I suspect that early cultures like the Celts and Greeks/Romans wore clothes to keep warm and it wasn't such a big deal to hide themselves away (much as Leafsnail said).