It does go differently for different people and depends on what you're trying to accomplish in a suit. What I do is start with either artifacts that I have or artifacts to build toward. For example, on my warrior I had an ancient samurai helm, heart of the lion and fey leggings. From there, I filled out my resists (except poison) with my arms, gorget and sleeves, coincidently adding MR in the process, and luckily finding stormgrip for my gloves. Then I added a primer on arms damage removal talisman. From there, I just needed traits for my jewelery, which I bought from the jewelery mall that Black Sun already mentioned (and I can't remember the name of either). The jewels include HCI, DI, FC/FCR and poison resist.
And at the end of it, I have all resists over 60, 90% DI, 2 FC, 4 FCR, 6 MR, 140 dex (no stamina increasing items), max DCI, 15% HCI and I do pretty well in any situation. Eventually, I traded my samurai helm in for mace and shield glasses, and I hope to soon trade in my gorget for jackal's collar.
For my mage suit, I started with only a rune beetle carapace, pendant of the magi and totem of the void. I filled in the rest of the suit with runic pieces focussing on LRC, LMC and MR. I got lucky in finding pieces and got about 50% SDI (Kasa of Raj-in, scrappers and SDI ring) in addition to 4/6 FC/FCR (spellweaving caps FC at 4, very useful indeed). It took 8 months to do and I spent about 14 million gold, but it was very worth it. In the last 8 months, I've only found one piece of armor which improves on what I have, and I did pay millions to buy it.
For my tamer suit, I used only runic pieces and focussed on resists, LRC and luck (in that order). It isn't the best suit, but I didn't pay much for it and it took a day to make. When my taming gets good enough to ditch the taming ring and bracelet, then I'll get FC/FCR and a lot more luck from the luck jewelery set.
I have a new archer on Drach who also has a nice suit, and that one I bought from a vendor and will add a couple of well placed artifacts when I find them. It has max stamina increase (8 points per piece, 48 total) and max resists on a human, but has no HCI, DCI, MR, or any other benifit. It makes for a good suit for my purposes so far. When I can find a ring of the vile and leggings of bane, then I may consider that suit "finished".