I usually go for weapons. Most games use very large numbers when calculating damages, and as such, weapons usually need to have higher stats than armors do, and get the benefit of the formula behind it. Rarely if ever will you do negative damage if the function looks like (Attack Damage - Armor Amount), unless an element is involved. Additionally, games also usually provide two opportunities to mitigate damage: running and dodging.

Now, if the armors had counter capabilities or special mods, this might be a different discussion. It also depends on the availability of healing. If it's free like in Pokemon, who cares what your defense is; if it's not, then you'd probably want to watch a little more closely. This also depends on how severe the penalty for dying is; if you're a level 70 Paladin in Diablo II, you can die all you want. If you're a level 92 Sorceress, you might care more.