There's a couple of material used to make armour...EVA foam, card, worbla mostly...
card red clearly easy to cut and stick together, but isn't very strong, worbla is for very advanced costume makers, so EVA foam is your best route, as it's the most versatile, it's easy to cut with a sharp exacto knife, you can seal it with a heat gun, spray paint it and all sorts...
most costumes you find at cons or online, will have been made with Eva foam...just google EVA foam, the 3-5mm thick Eva foam squares are your best bet...and you can bulk buy from eBay...
hope le that helps...