It depends on the details of the wedding. Is it formal or informal? In a church, synagog, cathedral, or mosque? Is it outside? What time of day?
In general, you should wear a dress that you'll be comfortable in and conforms, if necessary, to the etiquette of the location. For example, covered shoulders.
I probably wouldn't wear a long-sleeved dress to a outdoor wedding in the heat, but that's up to you.