I posted in Veloc's thread, but it bears mentioning here as well. There's no such thing as an optimal set; trying to cover all your bases leaves you with a mediocre overall defense. Therefore, you should figure out what gives you the most trouble, what bothers you least, and gear up accordingly. For example:

I view gun/rocket/flame puppies as the biggest damage source because I will usually be busy swording things. My awareness is focused close range, which means I have little trouble with piercing sources like floor spikes and wolvers, but more often than not some turret will fire a round up my tailpipe from long range. The other issue is turrets across chasms. So I gear up with Vog and Grey Owl, because elemental damage is most often what sneaks through my guard, and elemental damage is most often what i need my shield to tank. This setup is weak to shadow, particularly fiends because most of them have very fast attacks, and the Grey Owl doesn't hold well there either- so I usually avoid fiend levels. Although, now that I have a Crest of Almire, I may try to get a normal/shadow armor like the Valkyrie gear to to those levels.