I play for Penn Jersey Roller Derby in Philly. Banked track, co-ed. I LOVE it.
I use the Reidell R3's. They're decent beginner skates that run around 120. Roller Girl Skates has a great sizing guide on their website. My helmet is Triple 8, elbow and wrist guards a cheapies, and my knee pads are Protech.
The thing I REALLY want are new wheels, but they're expensive and I don't know exactly what I want.
As for skating at a rink, I now wear my kneepads religiously when I skate. Falling on your knees hurts a lot. If I'm just at an open skate I don't worry about any of my other gear, because I'm not blocking or racing. The knee pads are just in case I take an unexpected spill.
Derby is also my main form of exercise. We have practices 2-5 times a week, one of which is an open to the public derby workout that does work on and off skates.