Armor is important to Lone Wolf's survival. Nearly all armor counts as a Special Item. Armor typically adds to Endurance but may also affect Combat Skill. Truly unique gear may have other properties.
Note that if a piece of armor is removed, the rules do not state how the bonus EP from the armor should be handled.
The reader's handbook on Project Aon has a discussion on armor, including handling the EP bonus and on how various types of armor can be combined.