Offense may be the best defense, but with how many of Unreal's creatures are out to drop your health pool to 0, it is useful to try and keep it topped up. Beyond regenerating health items, there are pickups in store which can help you prevent the damage in the first place.
The Assault Vest is your basic suit of armour, giving you 100 points of armour protection. Assault Vests significantly increase your resistance to injury, which as you can imagine in Unreal is a good thing. It is always a good idea to keep tooled up with armour, so make sure you include plenty of exploration in your travels as Assault Vests are often a little off the beaten path. Rrajigar Mine and Chizra - Nali Water God for instance both have Assault Vests in secret areas, as does Bluff Eversmoking and several others.
Kevlar Suits are a fairly basic armour item. Collecting a Kevlar Suit will provide you with another 100 points of armour protection. Kevlar Suits can be used on their own, they have much the same effect as Assault Vests, but the key advantage is that you can have both at the same time for double the armour protection. Definitely no bad thing.
Toxin Suits can function as a very weak armour (50 points of weak protection), but their key function is to protect you from toxin attacks. This means that a Toxin Suit renders you invulnerable to engine coolant and slime, as well as protecting you from Slith saliva and Tarydium Sludge. This often means that you can take a dip in some slime (especially on the ISV-Kran) to pick up extra items. Pretty good, you say, but bear in mind that if you take damage the suit is soon worn out. Note that you can't carry a Kevlar Suit and Toxin Suit at the same time, one replaces the other.
Where the Toxin Suit renders you invulnerable to slime, the Asbestos Suit renders you invulnerable to damage from lava. Until something damages you and the suit is destroyed. Like the Toxin Suit, it offers 50 points of very weak armour, but this does not make enough of a difference for it to be worthwhile as armour. There is also a disadvantage that an Asbestos Suit and Toxin Suit or Kevlar Suit cannot be worn at the same time; one replaces the other. Only used in Return to Na Pali.
Shield Belts are very powerful armour items. Upon collection of a shield belt, you gain 100 points of invulnerability. Whilst under the influence of a Shield Belt, you do not lose any health and all of your existing armour remains undamaged. A Shield Belt is a very useful item to collect before going into a tough fight, as it really can make the diffeence between killing and... being killed. When there is a Shield Belt on offer, always make sure you get it, because it is extremely useful.
A Power Shield is the ultimate in protective kit. A Power Shield, as opposed to a Shield Belt's 100 points of invulnerability, gives you 200 points of invulnerability. Extremely powerful but consequently very rare, I think there is only one in the single player game, at the Demon Crater. What's even better is that you can carry a Shield Belt and a Power Shield at the same time for even more protection.