J Lo was in all her bridal glory Thursday in NYC shooting a movie called, what else ... "Marry Me." She was rocking a lavishly floral patterned wedding dress for the scene ... with all the accessories -- veil, train, jewelry and even a fancy shawl at one point.

As you know ... J Lo and A-Rod got engaged in March, and everyone's been dying to know when and where they plan to tie the knot. Still no word on that, but maybe the movie -- which comes out next year -- is giving Jen some ideas for her real-life gown.

If you're superstitious, chill out ... doesn't look like A-Rod saw her in the gown. He was busy at Yankee Stadium covering the Bronx Bombers' playoff game.

After she wrapped on the set, Jenny from the Block made it up to the game with her hair still curled from the scenes. BTW, she looked great, but her Yankees did NOT. They lost.