I have quite a bit of armour.
A helmet is a must - I've concussed myself more than once. Nothing worst than on the ice feeling like your not sure if your going to be sick or pass out..
Getting a helmet means you must try it on in person. The helmet has to fit snugly round then entire of your head. This is trickier than it sounds as it's everyone's head is different and so what is right & cool for one person isn't for another.
Also take your goggles when you try them on. I didn't the first time and with Oakley Wisdoms the helmet wouldn't fit. Wisdoms have an odd plastic pivot connecting the band to the eyemask.
Took the helmet back and got a different type - mine is made by Gyro. It's comfy and warm with the added knowledge that it's the same manufacturer that makes my mountain biking helmets (which have seen worse crashes!).
I also always wear wrist protectors and knee protectors. Infact this is my second set of wrist protectors after snapping the metal in the previous ones.
Knee protectors are good as you can kneel if your butt's cold as an added bonus.
My biggest chunk of armour is a Dainese top that has neoprene feel thermal top with built in segmented armour back protector, hard plastic elbow pads and think padding on the shoulders.
Have I worn it.. yes once at -12degC after one run it was back to the chalet (ski-in/out thankfully) to take it off - it was too hot!
I've tried on the dianese back protector (ie not built in to a top) and I have to say it was uncomfortable and wouldn't stay put for me.
Goggles - I would put these under armour! I have a scratch on the lense of my wisdoms from the cut off of a branch through the ice. Scared the crap out of me to think the branch was long enough to go well into my eye.. money well spent as the goggles are best thing I've bought.
What I will say is every manufacture has different forms of armour for each joint and the padding/method of securing is unique too. So have a look around for the best for you.
I guess I'm going to be dragged over the coals for my selection of components, usual riding gear:
Board: Burton Malolo 162 '05 model (nicer graphics than this years
)
Bindings: Flow Pro 11 '05 + Burton Elevators (big feet!)
Boots: Burton Hail '05
Bag: Dainese Rollerbag 165 - rollers+airport are bliss!
Pants: Bonfire (matt dark green)- these must be a good 3-4 years old!
Top: Helly/Hanson (matt green) - 3 years and still going!
Helmet: Giro 99
Balaclava: Peter Storm
Goggles: Oakley Wisdoms - great lens!
Kneepads: either some french ones (best) or Solomon
Wrist guards: Solomon (hard plastic doesn't suffer from fatigue as the previous metal set did)
Yup I wear a balaclava, goggles and a helmet... infact here's a piccy of me at Big White Canada, the trip before I bought my own gear:
IIRC that was a Rosingol hire board.. a bit pants compared to the Malolo it has to be said!