I always wear knee pads, gloves, and a helmet. I've been thinking lately about upgrading my gloves to proper wrist guards, just have to find a comfortable set. When i was younger I was into inline skating and skateboarding and I was firmly in the pads aren't cool camp so didn't wear them whenever my parents weren't watching or a skate park didn't require them. I've since grown up and joined the getting hurt isn't cool set, so i wear them. I understand people saying they don't wear wrist guards because they're not comfortable, I agree completely, but there's gotta be some out there that are, I just haven't found them yet. In the mean time i wear gloves, cause i've taken enough falls that would have torn up my hands (I've torn up several pairs of gloves). I'm glad to not be picking gravel out of my palms. I've also never found a pair of elbow pads that are comfortable to move in, and i've never had serious falls where my elbows are a major point of impact so i'm not missing much there.
I love my 661 kneepads, they're super comfortable and save me frequently, and I've never had a problem with a proper fitting helmet restricting me in any way, and while i've never hit my head bocking, i'm never gonna stop wearing it cause i don't want to take that chance.