The only things I'm a STRONG supporter of are wrist guards (mostly just while learning) helmets (never go without).
A girl I used to work with took a spill while she was learning to ride, and sprained her wrist. She's a guitarist (and likes Wii) and the recovery/therapy almost drove her nuts. I myself messed up my wrist in a car-wreck and I needed the extra support of wrist guards. You can find ones that work with any old gloves, or you can get gloves with built-in wrist guards (thats what I did. And then sold them to another coworker who was learning to ride).
I haven't taken any real hard spills that wrecked my elbows or knees, knock on wood, so I don't have an opinion on knee pads. However, if you're going to be riding on the Ice(sic) Coast, you might consider them. Fallen on my ass a couple good times and thought my tailbone was broke. If you're worried about spills you might consider some impact pants while learning.