In armor, you generally want material that is strong (for AV), light (for weight), and flexible (for penalties). You don't need that much flex, either: you can probably get away with flexibility of 5 without taking any penalties. High weight has no positive effect on armor, AFAIK.
In weapons there is a bit more to it. Strength is still important, of course, especially for light weapons like daggers, short swords, and spears which don't have all that much mainmaterialvolume to begin with (and thus are less effected by the mass of the main weapon material). Flexibility is pretty much irrelevant for anything except whips. Density comes into play with heavy weapons like maces, axes, halberds, and hammers. For any weapon, higher mass leads to both greater damage and lower accuracy/speed. But you still need a balance: a mace made of gold might be pretty and heavy, but it will also be horribly slow. It will do some damage, yes, but probably not as much as if your mace were made of steel. Arcanite and octiron make lousy mace materials due to their low weight, but they make excellent daggers, spears, and armor bits. Swords can go either way: the two-handers might benefit from a heavier material, but then you also run the risk of not being able to use them effectively.
"Put more stuff in the... thing where... more stuff goes in."