Buying Protection
Skating can lead to some nasty injuries if you are not careful and it is recommended to wear some protective gear to help avoid this.

Wrist Guards
Wrist guards are, in my opinion, the most important piece of equipment you need. Having wiped out on occasion, I can honestly say that if I was not wearing my wrist-guards I would have shattered wrists a few times over.

When buying wrist guards, be aware that there are two general types : those with a thick strip of plastic which covers the wrist and palm and those without. The ones without this plastic only protect your hands from abrasion. If you fall hard enough with these on then you can still do yourself a nasty injury.

The plastic strip on the other type should help cushion the impact of a fall and leave you walking (or limping - were you wearing knee pads?) away with your wrists intact.

Knee and Elbow Pads
Its always nice to avoid pain, and these pads should help do that. Make sure that they fit comfortably and do not cut off blood circulation.

Helmets
Not much to say about helmets except that just about all skate helmets are nearly identical. A cycle helmet will protect your head equally well for skating on the roads but aren't recommended for aggressive or vert skating., since they are designed primarily to protect the front of your head only. Remember that cycle helmets generally have a "one hit use" and you should be careful using them after a bad knock.

When buying a helmet, remember that they tend to shrink (or rather the lining inside them does) So make sure it fits comfortably and doesnt pinch too much