If you're looking for something really dressy to go to a party I'd recommend The Ballroom which has a fabulous array of dresses for hire and sale. It's over on The Plain, the roundabout where Cowley Rd, Iffley Rd, St Clements and High St all meet.
For something more unusual (and definitely the closest clothing shop to the station) try Rainbow and Spoon Boutique. It's at 22 Park End St, almost hidden behind the bus stop.
As you walk up to town from the station there are all the usual high st names along Queen Street and Cornmarket. For more individual shops try in the Covered Market and you'll find lots of boutiques.