Full Face Helmet, definitely....I got a Fox Rampage for a bargain from Torpedo7, there are heaps of choices out there, I went off measurements and was lucky the fit was good fit (I'm size small by the looks) and for $110 it was worth the risk but from what people say it is best to try some on.
I also wear knee/ shins (Race Face FR) however it's possibly not a bad thing to have a set of knee only for the warmer weather (like TLD T-Bones, POC, or even the 661 D30).
Elbow / Arm gurads, I picked up a set cheap Fox ones off this forum and they do the job well.....but if you're pretty searious about getting into DH and likely to go faster than I do then maybe look at body armour instead, I probably would have gone that way if I was going to progress, but that didn't happen. For starting out elbow gurads at least are a good idea and maybe wearing you Camelbak for a bit of extra back protection.....I know it's not meant for that but it would help.
Gloves, they're a basic thing but invaluable, both with still having good grip when your hands are sweaty but also hugely protective when you fall off because most of the times your hands are the first thing to hit the ground.
Goggles, most people wear them and I think they're a good idea, you don't want a branch in your eye, I wear glasses anyway so I never did try goggles.
You should talk to Bec on the HTF forum, she's recently got into downhill and rides an Iron Horse Sunday. Her user name is escher
http://www.hucktoflat.com/htf/smf/
).
