As Pelakas says, it depends on which weapon type (sword, gun, or bomb) you prefer. See, when you get deep into the game, the monsters inflict so much damage that even really strong armor lets lots of damage through. So you have to shield and dodge carefully, instead of relying on armor. And, as long as you're not relying on armor, you might as well be wearing armor that gives valuable offensive bonuses.

My next piece of advice is to look at *5-star items*, not 2- or 3-star items. Why? Because (unless you're gearing up for Tier-1 or Tier-2 Lockdown) everything ends up at 5-star sooner or later. So here are the armor sets to look at primarily:

* For swords: Skolver, Vog Cub. (Also Snarbolax and Heavenly Iron, but those require Shadow Lair access to make).
* For guns: Nameless, Justifier, Shadowsun, Deadshot. (Also Perfect Mask of Seerus, if you've bought Operation Crimson Hammer.)
* For bombs: Volcanic Demo, Mad Bomber, Bombastic Demo. (Also Mercurial Demo, but that requires Shadow Lair access to make.)
* For all: Chaos, Fallen.

Another strategy is to make a general-purpose set, that protects moderately against many kinds of damage and status. Perhaps the king of this approach is Divine Veil with Skolver Coat (or Justifier Jacket). It depends on what your goals are.