It does depend on what you're making.
But generally speaking, you're not looking for one material. With armor, you're looking at a combination of materials that will do everything you want the armor to do. For a lightweight base you may be looking at foam or thin plastic sheets, while for sculpted detail it may be a different kind of foam, or air-drying clay, or something else. Armor (and many props) is best made with a combination of materials, keeping in mind that your base or foundation layer does not have to be the same as the outer finishing layer. What creates the stability, shape, and weight of armor is underneath, but what makes people believe you're wearing armor is the finish.
Founder and President, Madison Area Costuming Society, a chapter of the International Costumer's Guild
Strange Land Costuming - www.strangelandcostumes.com